Large-sample approximations for variance-covariance matrices of high-dimensional time series
DOI10.3150/16-BEJ811zbMath1388.62269arXiv1704.06230OpenAlexW1653403902MaRDI QIDQ2405110
Ansgar Steland, Rainer von Sachs
Publication date: 21 September 2017
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1704.06230
time seriesprincipal component analysisshrinkage estimationlong memorymultivariate analysisstrong approximationbig dataportfolio analysisLassochange-pointsdata science and analytics
Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items (6)
This page was built for publication: Large-sample approximations for variance-covariance matrices of high-dimensional time series