Inverse moment bounds for sample autocovariance matrices based on detrended time series and their applications

DOI10.1016/j.laa.2014.05.017zbMath1312.15050MaRDI QIDQ2341886

Ching-Kang Ing, Shu-Hui Yu, Tzu-Chang F. Cheng

Publication date: 6 May 2015

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.laa.2014.05.017

zbMATH Keywords

detrended time series; moment convergence; sample autocovariance matrix; banded Cholesky factorization; inverse moment bounds; regression model with time series errors

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

15A09: Theory of matrix inversion and generalized inverses

15B52: Random matrices (algebraic aspects)