Covariance and precision matrix estimation for high-dimensional time series

DOI10.1214/13-AOS1182zbMath1294.62123arXiv1401.0993MaRDI QIDQ2443210

Mengyu Xu, Xiaohui Chen, Wei-Biao Wu

Publication date: 4 April 2014

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1401.0993

zbMATH Keywords

consistencycovariance matrixthresholdingsparsityhigh-dimensional inferenceLassoprecision matrixNagaev inequalitydependencenonstationary time seriesfunctional dependence measurespatial-temporal processes

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Uses Software

• glasso

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