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

DOI10.1214/22-EJS2060MaRDI QIDQ2084468

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

zbMATH Keywords

whiteningToeplitz matrixlong range dependencehigh-dimensional PCAseparable sample covariance matrix

Mathematics Subject Classification ID

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

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