Block covariance matrix estimation with structured off-diagonal blocks

DOI10.1007/S00362-025-01736-4MaRDI QIDQ6933092zbMATH OpenFDO

Authors Monika Mokrzycka, Malwina Mrowińska

Publication date 5 September 2025

Published in Statistical Papers (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1007/S00362-025-01736-4

zbMATH Keywords

autoregression of order oneleast squares estimationmaximum likelihood estimationpartitioned covariance matrixshrinking

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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