Ratio-consistent estimation for long range dependent Toeplitz covariance with application to matrix data whitening

DOI10.1214/22-EJS2060MaRDI QIDQ2084468zbMATH OpenFDO

Authors Peng Tian, Jian-Feng Yao

Publication date 18 October 2022

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2006.02070, https://projecteuclid.org/journals/electronic-journal-of-statistics/volume-16/issue-2/Ratio-consistent-estimation-for-long-range-dependent-Toeplitz-covariance-with/10.1214/22-EJS2060.full

zbMATH Keywords

high-dimensional PCAlong range dependenceseparable sample covariance matrixToeplitz matrixwhitening

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Multivariate distribution of statistics (62H10) Inference from stochastic processes and spectral analysis (62M15)

Cites work

• Asymptotics of spectral density estimates
• Asymptotics of the sample mean and sample covariance of long-range-dependent series
• Covariances estimation for long-memory processes
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
• Estimation of inverse autocovariance matrices for long memory processes
• Estimation of Toeplitz Covariance Matrices in Large Dimensional Regime With Application to Source Detection
• scientific article; zbMATH DE number 5691097 (Why is no real title available?)
• scientific article; zbMATH DE number 1857755 (Why is no real title available?)
• scientific article; zbMATH DE number 1881986 (Why is no real title available?)
• Improving portfolios global performance using a cleaned and robust covariance matrix estimate
• Joint CLT for top eigenvalues of sample covariance matrices of separable high dimensional long memory processes
• Large sample covariance matrices and high-dimensional data analysis
• Large sample inference for long memory processes
• Long-Range Dependence and Self-Similarity
• On the empirical spectral distribution for matrices with long memory and independent rows
• On the extreme eigenvalues of Hermitian (block) Toeplitz matrices
• On the Performance of MUSIC With Toeplitz Rectification in the Context of Large Arrays
• Spectral analysis of large dimensional random matrices
• Spiked separable covariance matrices and principal components
• Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices
• The Maximum Deviation of Sample Spectral Densities
• Tracy-Widom law for the largest eigenvalue of sample covariance matrix generated by VARMA
• Unbounded largest eigenvalue of large sample covariance matrices: asymptotics, fluctuations and applications

Cited in

(3)

• Ratio-consistent estimation for long range dependent Toeplitz covariance with application to matrix data whitening
• Benign overfitting in time-series linear models with over-parameterization
• On benign overfitting of high-dimensional stochastic processes

This page was built for publication: Ratio-consistent estimation for long range dependent Toeplitz covariance with application to matrix data whitening

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2084468)