ESTIMATION OF AUTOCOVARIANCE MATRICES FOR INFINITE DIMENSIONAL VECTOR LINEAR PROCESS

DOI10.1111/jtsa.12063zbMath1302.62125OpenAlexW2144982770MaRDI QIDQ2936573

Monika Bhattacharjee, Arup Bose

Publication date: 17 December 2014

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12063

zbMATH Keywords

consistencyconvergence rateparameter matrixhigh-dimensional datavariance-covariance matrixoperator normcoefficient matrixbandingspatial variable\(k\)-th order autocovariance matrixcross-sectional variablesIVARmarginal variance-covariance matrix

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (6)

Estimation of linear functional of large spectral density matrix and application to Whittle's approach ⋮ Large sample behaviour of high dimensional autocovariance matrices ⋮ Smallest singular value and limit eigenvalue distribution of a class of non-Hermitian random matrices with statistical application ⋮ Weighted l₁‐Penalized Corrected Quantile Regression for High‐Dimensional Temporally Dependent Measurement Errors ⋮ Joint convergence of sample autocovariance matrices when \(p/n\to 0\) with application ⋮ Estimation of autocovariance matrices for high dimensional linear processes

Cites Work

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• Infinite-dimensional VARs and factor models
• The generalized dynamic factor model consistency and rates
• Regularized estimation of large covariance matrices
• Probabilities of Large Deviations for Random Vectors
• Introduction to Time Series and Forecasting
• Forecasting and conditional projection using realistic prior distributions

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