Estimating Wold matrices and vector moving average processes
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Cites work
- Adaptive bandwidth choice
- Banded and tapered estimates for autocovariance matrices and the linear process bootstrap
- Banding sample autocovariance matrices of stationary processes
- Baxter's inequality and convergence of finite predictors of multivariate stochastic processes
- BIAS-CORRECTED NONPARAMETRIC SPECTRAL ESTIMATION
- Covariance matrix estimation and linear process bootstrap for multivariate time series of possibly increasing dimension
- Elements of multivariate time series analysis
- Estimated Wold representation and spectral-density-driven bootstrap for time series
- Estimating MA parameters through factorization of the autocovariance matrix and an MA-sieve bootstrap
- ESTIMATION OF THE COEFFICIENTS OF A MULTIVARIATE LINEAR FILTER USING THE INNOVATIONS ALGORITHM
- Exponential decay rate of partial autocorrelation coefficients of ARMA and short-memory processes
- Foundations of time series analysis and prediction theory
- High-dimensional autocovariance matrices and optimal linear prediction
- scientific article; zbMATH DE number 193126 (Why is no real title available?)
- scientific article; zbMATH DE number 2199188 (Why is no real title available?)
- Introduction to Time Series and Forecasting
- On Parlett's matrix norm inequality for the Cholesky decomposition
- On the Perturbation of the Cholesky Factorization
- On the vector autoregressive sieve bootstrap
- Optimal rates of convergence for estimating Toeplitz covariance matrices
- Structural vector autoregressive analysis
- Time series: theory and methods.
Cited in
(3)- Non-stationary q-dependent processes and time-varying moving-average models: invertibility properties and the forecasting problem
- Estimating MA parameters through factorization of the autocovariance matrix and an MA-sieve bootstrap
- Inverse covariance operators of multivariate nonstationary time series
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