Approximations of the eigenvalues of the covariance matrix of a first order autoregressive process

DOI10.1016/0304-4076(83)90103-3MaRDI QIDQ1165545zbMATH OpenOpenAlexFDO

Authors Roelof J. Stroeker

Publication date 1983

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(83)90103-3

zbMATH Keywords

error boundsalgorithmRayleigh quotientsfirst order autoregressive processeigenvalues of covariance matrixexplicit approximations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Probabilistic methods, stochastic differential equations (65C99) Numerical computation of eigenvalues and eigenvectors of matrices (65F15)

Cites work

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• scientific article; zbMATH DE number 3081879 (Why is no real title available?)
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Some new characterizations of the Chebyshev polynomials

Cited in

(2)

• Eigenvalue-eigenvector structure of Schoenmakers-Coffey matrices via Toeplitz technology and applications
• Variable selection via penalized credible regions with Dirichlet-Laplace global-local shrinkage priors

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