{"ID":2830199,"CreatedAt":"2026-06-01T04:54:23.091178241Z","UpdatedAt":"2026-06-01T04:54:23.091178241Z","DeletedAt":null,"paper_url":"https://arxiv.org/abs/2512.10467","arxiv_id":"2512.10467","title":"Learning Time-Varying Correlation Networks with FDR Control via Time-Varying P-values","abstract":"This paper presents a systematic framework for controlling false discovery rate in learning time-varying correlation networks from high-dimensional, non-linear, non-Gaussian and non-stationary time series with an increasing number of potential abrupt change points in means. We propose a bootstrap-assisted approach to derive dependent and time-varying P-values from a robust estimate of time-varying correlation functions, which are not sensitive to change points. Our procedure is based on a new high-dimensional Gaussian approximation result for the uniform approximation of P-values across time and different coordinates. Moreover, we establish theoretically guaranteed Benjamini--Hochberg and Benjamini--Yekutieli procedures for the dependent and time-varying P-values, which can achieve uniform false discovery rate control. The proposed methods are supported by rigorous mathematical proofs and simulation studies. We also illustrate the real-world application of our framework using both brain electroencephalogram and financial time series data.","short_abstract":"This paper presents a systematic framework for controlling false discovery rate in learning time-varying correlation networks from high-dimensional, non-linear, non-Gaussian and non-stationary time series with an increasing number of potential abrupt change points in means. We propose a bootstrap-assisted approach to d...","url_abs":"https://arxiv.org/abs/2512.10467","url_pdf":"https://arxiv.org/pdf/2512.10467v2","authors":"[\"Bufan Li\",\"Lujia Bai\",\"Weichi Wu\"]","published":"2025-12-11T09:43:05Z","proceeding":"stat.ME","tasks":"[\"stat.ME\",\"econ.EM\",\"math.ST\"]","methods":"[]","has_code":false}