Estimation of large covariance and precision matrices from temporally dependent observations
From MaRDI portal
Publication:2414089
DOI10.1214/18-AOS1716zbMath1430.62114arXiv1412.5059OpenAlexW2277328580MaRDI QIDQ2414089
Publication date: 10 May 2019
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1412.5059
Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Image analysis in multivariate analysis (62H35)
Related Items (8)
Estimation of linear functional of large spectral density matrix and application to Whittle's approach ⋮ Two sample tests for high-dimensional autocovariances ⋮ Finite sample theory for high-dimensional functional/scalar time series with applications ⋮ Scalable Bayesian matrix normal graphical models for brain functional networks ⋮ Strong law of large numbers for functionals of random fields with unboundedly increasing covariances ⋮ Local Whittle estimation of high-dimensional long-run variance and precision matrices ⋮ Minimax estimation of covariance and precision matrices for high-dimensional time series with long-memory ⋮ Spectral analysis of high-dimensional time series
This page was built for publication: Estimation of large covariance and precision matrices from temporally dependent observations
