HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES (Q5199496): Difference between revisions

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scientific article; zbMATH DE number 5938534

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English	HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES	scientific article; zbMATH DE number 5938534

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scholarly article

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title

HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES (English)

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zbMATH Open document ID

1219.62144

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DOI

10.1017/S0266466610000484

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16 August 2011

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Mathematics Subject Classification ID

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MaRDI publication profile

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cites work

THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN

0 references

ARMA model identification

0 references

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

0 references

Time series: theory and methods.

0 references

Nonparametric regression with infinite order flat-top kernels

0 references

Asymptotically Minimax Adaptive Estimation. II. Schemes without Optimal Adaptation: Adaptive Estimators

0 references

Asymptotically Minimax Adaptive Estimation. I: Upper Bounds. Optimally Adaptive Estimates

0 references

Higher-order accurate polyspectral estimation with flat-top lag-windows

0 references

On a Problem of Adaptive Estimation in Gaussian White Noise

0 references

An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator

0 references

Resampling methods for dependent data

0 references

Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator

0 references

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

0 references

A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS

0 references

EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN

0 references

Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing

0 references

Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation

0 references

Bootstrapping GMM estimators for time series

0 references

Asymptotic spectral theory for nonlinear time series

0 references

Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators

0 references

Large Sample Properties of Generalized Method of Moments Estimators

0 references

Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes

0 references

Asymptotic normality, strong mixing and spectral density estimates

0 references

Q4039983

0 references

Inference For Autocorrelations Under Weak Assumptions

0 references

Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models

0 references

Q3323077

0 references

Basic Considerations in the Estimation of Spectra

0 references

Q4840212

0 references

Inference in Arch and Garch Models with Heavy-Tailed Errors

0 references

Automatic Block-Length Selection for the Dependent Bootstrap

0 references

Bandwidth Selection in Nonparametric Kernel Testing

0 references

BIAS-CORRECTED NONPARAMETRIC SPECTRAL ESTIMATION

0 references

Adaptive bandwidth choice

0 references

On Wielandt's inequality and its application to the asymptotic distribution of the eigenvalues of a random symmetric matrix

0 references

Adapting to Unknown Smoothness via Wavelet Shrinkage

0 references

Mathematical Considerations in the Estimation of Spectra

0 references

On Consistent Estimates of the Spectrum of a Stationary Time Series

0 references

Automatic Lag Selection in Covariance Matrix Estimation

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:5199496

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN
+Normal rank
@@ Property / cites work @@
+ARMA model identification
@@ Property / cites work: ARMA model identification / rank @@
+Normal rank
@@ Property / cites work @@
+A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
+Normal rank
@@ Property / cites work @@
+Time series: theory and methods.
@@ Property / cites work: Time series: theory and methods. / rank @@
+Normal rank
@@ Property / cites work @@
+Nonparametric regression with infinite order flat-top kernels
+Normal rank
@@ Property / cites work @@
+Asymptotically Minimax Adaptive Estimation. II. Schemes without Optimal Adaptation: Adaptive Estimators
+Normal rank
@@ Property / cites work @@
+Asymptotically Minimax Adaptive Estimation. I: Upper Bounds. Optimally Adaptive Estimates
+Normal rank
@@ Property / cites work @@
+Higher-order accurate polyspectral estimation with flat-top lag-windows
+Normal rank
@@ Property / cites work @@
+On a Problem of Adaptive Estimation in Gaussian White Noise
+Normal rank
@@ Property / cites work @@
+An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
+Normal rank
@@ Property / cites work @@
+Resampling methods for dependent data
@@ Property / cites work: Resampling methods for dependent data / rank @@
+Normal rank
@@ Property / cites work @@
+Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator
+Normal rank
@@ Property / cites work @@
+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
+Normal rank
@@ Property / cites work @@
+A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
+Normal rank
@@ Property / cites work @@
+EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN
+Normal rank
@@ Property / cites work @@
+Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
+Normal rank
@@ Property / cites work @@
+Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
+Normal rank
@@ Property / cites work @@
+Bootstrapping GMM estimators for time series
@@ Property / cites work: Bootstrapping GMM estimators for time series / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic spectral theory for nonlinear time series
+Normal rank
@@ Property / cites work @@
+Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators
+Normal rank
@@ Property / cites work @@
+Large Sample Properties of Generalized Method of Moments Estimators
+Normal rank
@@ Property / cites work @@
+Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
+Normal rank
@@ Property / cites work @@
+Asymptotic normality, strong mixing and spectral density estimates
+Normal rank
@@ Property / cites work @@
+Q4039983
@@ Property / cites work: Q4039983 / rank @@
+Normal rank
@@ Property / cites work @@
+Inference For Autocorrelations Under Weak Assumptions
+Normal rank
@@ Property / cites work @@
+Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models
+Normal rank
@@ Property / cites work @@
+Q3323077
@@ Property / cites work: Q3323077 / rank @@
+Normal rank
@@ Property / cites work @@
+Basic Considerations in the Estimation of Spectra
@@ Property / cites work: Basic Considerations in the Estimation of Spectra / rank @@
+Normal rank
@@ Property / cites work @@
+Q4840212
@@ Property / cites work: Q4840212 / rank @@
+Normal rank
@@ Property / cites work @@
+Inference in Arch and Garch Models with Heavy-Tailed Errors
+Normal rank
@@ Property / cites work @@
+Automatic Block-Length Selection for the Dependent Bootstrap
+Normal rank
@@ Property / cites work @@
+Bandwidth Selection in Nonparametric Kernel Testing
+Normal rank
@@ Property / cites work @@
+BIAS-CORRECTED NONPARAMETRIC SPECTRAL ESTIMATION
@@ Property / cites work: BIAS-CORRECTED NONPARAMETRIC SPECTRAL ESTIMATION / rank @@
+Normal rank
@@ Property / cites work @@
+Adaptive bandwidth choice
@@ Property / cites work: Adaptive bandwidth choice / rank @@
+Normal rank
@@ Property / cites work @@
+On Wielandt's inequality and its application to the asymptotic distribution of the eigenvalues of a random symmetric matrix
+Normal rank
@@ Property / cites work @@
+Adapting to Unknown Smoothness via Wavelet Shrinkage
+Normal rank
@@ Property / cites work @@
+Mathematical Considerations in the Estimation of Spectra
+Normal rank
@@ Property / cites work @@
+On Consistent Estimates of the Spectrum of a Stationary Time Series
+Normal rank
@@ Property / cites work @@
+Automatic Lag Selection in Covariance Matrix Estimation
+Normal rank