Joint estimation of precision matrices for long-memory time series

DOI10.1016/J.CSDA.2025.108234MaRDI QIDQ6902957zbMATH OpenFDO

Authors Qihu Zhang, Jongik Chung, Cheolwoo Park

Publication date 10 November 2025

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

zbMATH Keywords

aggregationhigh-dimensional dataprecision matrix estimationlong-memory time seriesbrain functional connectivity

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12)

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Cited in

(1)

• Joint graphical Lasso with regularized aggregation

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