Estimation of autocovariance matrices for infinite dimensional vector linear process

DOI10.1111/JTSA.12063MaRDI QIDQ2936573zbMATH OpenOpenAlexFDO

Authors Monika Bhattacharjee, Arup Bose

Publication date 17 December 2014

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/jtsa.12063

zbMATH Keywords

\(k\)-th order autocovariance matrixbandingcoefficient matrixconsistencyconvergence ratecross-sectional variableshigh-dimensional dataIVARmarginal variance-covariance matrixoperator normparameter matrixspatial variablevariance-covariance matrix

Mathematics Subject Classification ID

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

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Cites work

• Forecasting and conditional projection using realistic prior distributions
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• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
• Infinite-dimensional VARs and factor models
• Introduction to Time Series and Forecasting
• Probabilities of Large Deviations for Random Vectors
• Regularized estimation of large covariance matrices
• The generalized dynamic factor model consistency and rates

Cited in

(11)

• Estimation of autocovariance matrices for high dimensional linear processes
• Smallest singular value and limit eigenvalue distribution of a class of non-Hermitian random matrices with statistical application
• Joint convergence of sample autocovariance matrices when \(p/n\to 0\) with application
• Large sample behaviour of high dimensional autocovariance matrices
• Estimation of inverse autocovariance matrices for long memory processes
• Higher order approximations for autocovariances from linear processes with applications
• scientific article; zbMATH DE number 1911817 (Why is no real title available?)
• Weighted l₁‐Penalized Corrected Quantile Regression for High‐Dimensional Temporally Dependent Measurement Errors
• A Bernstein-type inequality for high dimensional linear processes with applications to robust estimation of time series regressions
• Joint estimation of precision matrices for long-memory time series
• Estimation of linear functional of large spectral density matrix and application to Whittle's approach

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