Robust estimation for the covariance matrix of multi-variate time series (Q5495693)
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scientific article; zbMATH DE number 6325661
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| English | Robust estimation for the covariance matrix of multi-variate time series |
scientific article; zbMATH DE number 6325661 |
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Robust estimation for the covariance matrix of multi-variate time series (English)
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6 August 2014
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density-based divergence measures
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robust estimation of covariance matrix
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autocovariance
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consistency
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asymptotic normality
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0.9553802609443665
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0.8519586324691772
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0.7931684255599976
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0.7804968953132629
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