Banded Regularization of Autocovariance Matrices in Application to Parameter Estimation and Forecasting of Time Series (Q3107199): Difference between revisions

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+Fitting autoregressive models for prediction
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+Normal rank
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+Consistent autoregressive spectral estimates
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+Normal rank
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+Some theory for Fisher's linear discriminant function, `naive Bayes', and some alternatives when there are many more variables than observations
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+Covariance regularization by thresholding
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+Normal rank
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+Regularized estimation of large covariance matrices
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+Regularization in statistics
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+Normal rank
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+Structural shrinkage of nonparametric spectral estimators for multivariate time series
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+Optimal rates of convergence for covariance matrix estimation
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+Autoregressive frequency detection using regularized least squares
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+Operator norm consistent estimation of large-dimensional sparse covariance matrices
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+Estimation of high-dimensional prior and posterior covariance matrices in Kalman filter vari\-ants
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+Strong consistency of the regularized least-squares estimates of infinite autoregressive models
+Normal rank
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+AR( infinity ) estimation and nonparametric stochastic complexity
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+Q3752135
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+Normal rank
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+Q3272866
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+Covariance matrix selection and estimation via penalised  normal likelihood
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+Accumulated prediction errors, information criteria and optimal forecasting for autoregressive time series
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+On same-realization prediction in an infinite-order autoregressive process.
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+Order selection for same-realization predictions in autoregressive processes
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+Sparsistency and rates of convergence in large covariance matrix estimation
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+A covariance extension approach to identification of time series
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+Banded and tapered estimates for autocovariance matrices and the linear process bootstrap
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+High-dimensional graphs and variable selection with the Lasso
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+Autoregressive process modeling via the Lasso procedure
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+Some recent advances in time series modeling
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+Adaptive bandwidth choice
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+Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases
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+Q2754859
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+Generalized Thresholding of Large Covariance Matrices
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+Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
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+Nonlinear system theory: Another look at dependence
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+Nonparametric estimation of large covariance matrices of longitudinal data
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+Q3643299
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