Automatic Lag Selection in Covariance Matrix Estimation (Q4319456)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 710144
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Automatic Lag Selection in Covariance Matrix Estimation |
scientific article; zbMATH DE number 710144 |
Statements
Automatic Lag Selection in Covariance Matrix Estimation (English)
0 references
29 June 1995
0 references
time series models
0 references
number of autocovariances
0 references
heteroskedasticity
0 references
autocorrelation consistent covariance matrix
0 references
mean-squared error loss
0 references
Monte Carlo simulations
0 references
0.8592392802238464
0 references
0.8240814805030823
0 references
0.8096965551376343
0 references
