High-dimensional autocovariance matrices and optimal linear prediction
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Publication:2340876
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Cites work
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- HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES
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Cited in
(17)- Estimation of autocovariance matrices for high dimensional linear processes
- Model-free bootstrap for a general class of stationary time series
- Lasso guarantees for \(\beta \)-mixing heavy-tailed time series
- Estimation and inference for precision matrices of nonstationary time series
- A Durbin-Levinson regularized estimator of high-dimensional autocovariance matrices
- High-dimensional Linear Regression for Dependent Data with Applications to Nowcasting
- Estimating Wold matrices and vector moving average processes
- Predictive inference for locally stationary time series with an application to climate data
- scientific article; zbMATH DE number 7376767 (Why is no real title available?)
- Consistent autoregressive spectral estimates: nonlinear time series and large autocovariance matrices
- Discussion of ``High-dimensional autocovariance matrices and optimal linear prediction
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- Inference for high‐dimensional linear models with locally stationary error processes
- Estimating the Spectral Density at Frequencies Near Zero
- Prediction in Locally Stationary Time Series
- Local quadratic spectral and covariance matrix estimation
- Inference optimal long run variance estimation with lugsail kernels
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