Covariance matrix estimation for stationary time series (Q450046): Difference between revisions

@@ Property / author @@
-Han Xiao
@@ Property / author: Han Xiao / rank @@
-Normal rank
@@ Property / author @@
-Wei-Biao Wu
@@ Property / author: Wei-Biao Wu / rank @@
-Normal rank
@@ Property / author @@
+Han Xiao
@@ Property / author: Han Xiao / rank @@
+Normal rank
@@ Property / author @@
+Wei-Biao Wu
@@ Property / author: Wei-Biao Wu / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+M10
@@ Property / Mathematics Subject Classification ID: 62M10 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+H12
@@ Property / Mathematics Subject Classification ID: 62H12 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+F10
@@ Property / Mathematics Subject Classification ID: 60F10 / rank @@
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@@ Property / zbMATH DE Number @@
+6075622
@@ Property / zbMATH DE Number: 6075622 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+autocovariance matrix
@@ Property / zbMATH Keywords: autocovariance matrix / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+banding
@@ Property / zbMATH Keywords: banding / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+large deviations
@@ Property / zbMATH Keywords: large deviations / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+physical dependence measure
@@ Property / zbMATH Keywords: physical dependence measure / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+short range dependence
@@ Property / zbMATH Keywords: short range dependence / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+spectral density
@@ Property / zbMATH Keywords: spectral density / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stationary processes
@@ Property / zbMATH Keywords: stationary processes / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+tapering
@@ Property / zbMATH Keywords: tapering / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+thresholding
@@ Property / zbMATH Keywords: thresholding / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Toeplitz matrix
@@ Property / zbMATH Keywords: Toeplitz matrix / rank @@
+Normal rank
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+MaRDI publication profile
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@@ Property / arXiv ID @@
+.4563
@@ Property / arXiv ID: 1105.4563 / rank @@
+Normal rank
@@ Property / cites work @@
+On large-sample estimation for the mean of a stationary random sequence
+Normal rank
@@ Property / cites work @@
+The maximum of the periodogram
@@ Property / cites work: The maximum of the periodogram / rank @@
+Normal rank
@@ Property / cites work @@
+Non-strong mixing autoregressive processes
@@ Property / cites work: Non-strong mixing autoregressive processes / rank @@
+Normal rank
@@ Property / cites work @@
+Spectral analysis of large dimensional random matrices
+Normal rank
@@ Property / cites work @@
+Limit of the smallest eigenvalue of a large dimensional sample covariance matrix
+Normal rank
@@ Property / cites work @@
+Q4185696
@@ Property / cites work: Q4185696 / rank @@
+Normal rank
@@ Property / cites work @@
+Large deviations for quadratic forms of stationary Gaussian processes
+Normal rank
@@ Property / cites work @@
+Sharp large deviations for Gaussian quadratic forms with applications
+Normal rank
@@ Property / cites work @@
+Covariance regularization by thresholding
@@ Property / cites work: Covariance regularization by thresholding / rank @@
+Normal rank
@@ Property / cites work @@
+Regularized estimation of large covariance matrices
+Normal rank
@@ Property / cites work @@
+Large deviations for quadratic functionals of Gaussian processes
+Normal rank
@@ Property / cites work @@
+Spectral measure of large random Hankel, Markov and Toeplitz matrices
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@@ Property / cites work @@
+Block length selection in the bootstrap for time series
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@@ Property / cites work @@
+Q3803918
@@ Property / cites work: Q3803918 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal rates of convergence for covariance matrix estimation
+Normal rank
@@ Property / cites work @@
+Q4391441
@@ Property / cites work: Q4391441 / rank @@
+Normal rank
@@ Property / cites work @@
+Moderate deviations of empirical periodogram and non-linear functionals of moving average processes
+Normal rank
@@ Property / cites work @@
+Q5361354
@@ Property / cites work: Q5361354 / rank @@
+Normal rank
@@ Property / cites work @@
+Operator norm consistent estimation of large-dimensional sparse covariance matrices
+Normal rank
@@ Property / cites work @@
+On tail probabilities for martingales
@@ Property / cites work: On tail probabilities for martingales / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation of high-dimensional prior and posterior covariance matrices in Kalman filter vari\-ants
+Normal rank
@@ Property / cites work @@
+A functional large deviations principle for quadratic forms of Gaussian stationary processes
+Normal rank
@@ Property / cites work @@
+A limit theorem for the norm of random matrices
@@ Property / cites work: A limit theorem for the norm of random matrices / rank @@
+Normal rank
@@ Property / cites work @@
+Q3247378
@@ Property / cites work: Q3247378 / rank @@
+Normal rank
@@ Property / cites work @@
+An exact rate of convergence in the functional central limit theorem for special martingale difference arrays
+Normal rank
@@ Property / cites work @@
+Q3998992
@@ Property / cites work: Q3998992 / rank @@
+Normal rank
@@ Property / cites work @@
+Shape fluctuations and random matrices
@@ Property / cites work: Shape fluctuations and random matrices / rank @@
+Normal rank
@@ Property / cites work @@
+On the distribution of the largest eigenvalue in principal components analysis
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@@ Property / cites work @@
+Moderate deviations for quadratic forms in Gaussian stationary processes
+Normal rank
@@ Property / cites work @@
+Q5778368
@@ Property / cites work: Q5778368 / rank @@
+Normal rank
@@ Property / cites work @@
+On maxima of periodograms of stationary processes
@@ Property / cites work: On maxima of periodograms of stationary processes / rank @@
+Normal rank
@@ Property / cites work @@
+Cramér-type moderate deviation for the maximum of the periodogram with application to simultaneous tests in gene expression time series
+Normal rank
@@ Property / cites work @@
+ASYMPTOTICS OF SPECTRAL DENSITY ESTIMATES
@@ Property / cites work: ASYMPTOTICS OF SPECTRAL DENSITY ESTIMATES / rank @@
+Normal rank
@@ Property / cites work @@
+Q5531480
@@ Property / cites work: Q5531480 / rank @@
+Normal rank
@@ Property / cites work @@
+Banded and tapered estimates for autocovariance matrices and the linear process bootstrap
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@@ Property / cites work @@
+Large deviations of sums of independent random variables
+Normal rank
@@ Property / cites work @@
+Central limit theorem for Fourier transforms of stationary processes
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@@ Property / cites work @@
+Adaptive bandwidth choice
@@ Property / cites work: Adaptive bandwidth choice / rank @@
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@@ Property / cites work @@
+Subsampling
@@ Property / cites work: Subsampling / rank @@
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@@ Property / cites work @@
+Moment inequalities for sums of dependent random variables under projective conditions
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@@ Property / cites work @@
+Q3051281
@@ Property / cites work: Q3051281 / rank @@
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@@ Property / cites work @@
+Q4002143
@@ Property / cites work: Q4002143 / rank @@
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@@ Property / cites work @@
+Asymptotic spectral theory for nonlinear time series
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@@ Property / cites work @@
+Q3999154
@@ Property / cites work: Q3999154 / rank @@
+Normal rank
@@ Property / cites work @@
+Level-spacing distributions and the Airy kernel
@@ Property / cites work: Level-spacing distributions and the Airy kernel / rank @@
+Normal rank
@@ Property / cites work @@
+On the asymptotic distributions of maxima of trigonometric polynomials with random coefficients
+Normal rank
@@ Property / cites work @@
+A stability result for the periodogram
@@ Property / cites work: A stability result for the periodogram / rank @@
+Normal rank
@@ Property / cites work @@
+Q5794082
@@ Property / cites work: Q5794082 / rank @@
+Normal rank
@@ Property / cites work @@
+The Maximum Deviation of Sample Spectral Densities
+Normal rank
@@ Property / cites work @@
+Nonlinear system theory: Another look at dependence
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@@ Property / cites work @@
+Q3643299
@@ Property / cites work: Q3643299 / rank @@
+Normal rank
@@ Property / cites work @@
+Covariance matrix estimation for stationary time series
+Normal rank
@@ Property / cites work @@
+On the limit of the largest eigenvalue of the large dimensional sample covariance matrix
+Normal rank
@@ Property / cites work @@
+Large deviations for quadratic forms of locally stationary processes
+Normal rank
@@ Property / cites work @@
+Q4143689
@@ Property / cites work: Q4143689 / rank @@
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@@ Property / OpenAlex ID @@
+W2103482025
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@@ links / mardi / name / links / mardi / name @@
+Publication:450046