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

zbMATH Keywords

time seriesprincipal component analysisshrinkage estimationlong memorymultivariate analysisstrong approximationbig dataportfolio analysisLassochange-pointsdata science and analytics

Mathematics Subject Classification ID

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)

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Asymptotics for high-dimensional covariance matrices and quadratic forms with applications to the trace functional and shrinkage ⋮ Flexible nonlinear inference and change-point testing of high-dimensional spectral density matrices ⋮ Change-point methods for multivariate time-series: paired vectorial observations ⋮ Shrinkage for covariance estimation: asymptotics, confidence intervals, bounds and applications in sensor monitoring and finance ⋮ Detecting changes in the second moment structure of high-dimensional sensor-type data in a K-sample setting ⋮ Testing and estimating change-points in the covariance matrix of a high-dimensional time series

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