Probability Inequalities for High-Dimensional Time Series Under a Triangular Array Framework

Abstract

Study of time series data often involves measuring the strength of temporal dependence, on which statistical properties like consistency and central limit theorem are built. Historically, various dependence measures have been proposed. In this note, we first survey some of the most well-used dependence measures as well as various probability and moment inequalities built upon them under a high-dimensional triangular array time series setting. We then argue that this triangular array setting will pose substantially new challenges to the verification of some dependence conditions. In particular, “textbook results” could now be misleading and hence are recommended to be used with caution.