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Gaussian approximation for high dimensional time series. (English) Zbl 1381.62254

The authors use the framework of functional dependence measure for Gaussian approximations of sums of multivariate stationary time series. In the rest of the paper, the batched-mean estimate of long-run covariances matrices is considered and some sharp inequalities for tail probabilities are provided for dependent processes.

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E17 Approximations to statistical distributions (nonasymptotic)