Covariance matrix estimation and linear process bootstrap for multivariate time series of possibly increasing dimension

DOI10.1214/14-AOS1301zbMath1320.62099arXiv1506.00816MaRDI QIDQ2352737

Dimitris N. Politis, Carsten Jentsch

Publication date: 6 July 2015

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.00816

zbMATH Keywords

bootstrapasymptoticscovariance matrixspectral densityhigh-dimensional datamultivariate time seriessample mean

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Nonparametric statistical resampling methods (62G09)

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