Automatic Lag Selection in Covariance Matrix Estimation (Q4319456)
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scientific article; zbMATH DE number 710144
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Automatic Lag Selection in Covariance Matrix Estimation |
scientific article; zbMATH DE number 710144 |
Statements
Automatic Lag Selection in Covariance Matrix Estimation (English)
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29 June 1995
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time series models
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number of autocovariances
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heteroskedasticity
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autocorrelation consistent covariance matrix
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mean-squared error loss
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Monte Carlo simulations
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