HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES

DOI10.1017/S0266466610000484zbMath1219.62144MaRDI QIDQ5199496

Dimitris N. Politis

Publication date: 16 August 2011

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466610000484

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M15: Inference from stochastic processes and spectral analysis

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