Inverse moment bounds for sample autocovariance matrices based on detrended time series and their applications
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Publication:2341886
DOI10.1016/j.laa.2014.05.017zbMath1312.15050MaRDI QIDQ2341886
Ching-Kang Ing, Shu-Hui Yu, Tzu-Chang F. Cheng
Publication date: 6 May 2015
Published in: Linear Algebra and its Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.laa.2014.05.017
detrended time series; moment convergence; sample autocovariance matrix; banded Cholesky factorization; inverse moment bounds; regression model with time series errors
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
15A09: Theory of matrix inversion and generalized inverses
15B52: Random matrices (algebraic aspects)