ESTIMATION OF AUTOCOVARIANCE MATRICES FOR INFINITE DIMENSIONAL VECTOR LINEAR PROCESS (Q2936573): Difference between revisions

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Latest revision as of 11:48, 9 July 2024

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ESTIMATION OF AUTOCOVARIANCE MATRICES FOR INFINITE DIMENSIONAL VECTOR LINEAR PROCESS
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    ESTIMATION OF AUTOCOVARIANCE MATRICES FOR INFINITE DIMENSIONAL VECTOR LINEAR PROCESS (English)
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    17 December 2014
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    high-dimensional data
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    IVAR
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    spatial variable
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    cross-sectional variables
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    variance-covariance matrix
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    marginal variance-covariance matrix
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    coefficient matrix
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    parameter matrix
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    \(k\)-th order autocovariance matrix
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    banding
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    consistency
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    convergence rate
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    operator norm
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