Estimation of autocovariance matrices for infinite dimensional vector linear process (Q2936573)
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scientific article; zbMATH DE number 6381232
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| English | Estimation of autocovariance matrices for infinite dimensional vector linear process |
scientific article; zbMATH DE number 6381232 |
Statements
ESTIMATION OF AUTOCOVARIANCE MATRICES FOR INFINITE DIMENSIONAL VECTOR LINEAR PROCESS (English)
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17 December 2014
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high-dimensional data
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IVAR
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spatial variable
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cross-sectional variables
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variance-covariance matrix
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marginal variance-covariance matrix
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coefficient matrix
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parameter matrix
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\(k\)-th order autocovariance matrix
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banding
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consistency
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convergence rate
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operator norm
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0.8580300211906433
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0.8516640067100525
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0.7919180989265442
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0.786848247051239
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