Banded and tapered estimates for autocovariance matrices and the linear process bootstrap
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Publication:3103202
DOI10.1111/J.1467-9892.2010.00679.XzbMATH Open1226.60052OpenAlexW1532799395MaRDI QIDQ3103202FDOQ3103202
Authors: Timothy L. McMurry, Dimitris Politis 
Publication date: 26 November 2011
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://escholarship.org/uc/item/5h9259mb
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Cites Work
- Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
- Sieve bootstrap for time series
- The jackknife and the bootstrap for general stationary observations
- Automatic Block-Length Selection for the Dependent Bootstrap
- Resampling methods for dependent data
- Nonlinear system theory: Another look at dependence
- Title not available (Why is that?)
- Banding sample autocovariance matrices of stationary processes
- The impact of bootstrap methods on time series analysis
- A new covariance inequality and applications.
- BIAS-CORRECTED NONPARAMETRIC SPECTRAL ESTIMATION
- Adaptive bandwidth choice
- Banded and tapered estimates for autocovariance matrices and the linear process bootstrap
- Nonparametric regression with infinite order flat-top kernels
- ORDER IDENTIFICATION STATISTICS IN STATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODELS:VECTOR AUTOCORRELATIONS AND THE BOOTSTRAP
Cited In (49)
- Hermite expansion and estimation of monotonic transformations of Gaussian data
- Linear process bootstrap unit root test
- Limiting spectral distribution of sample autocovariance matrices
- Covariance estimation: the GLM and regularization perspectives
- Hypothesis testing for high-dimensional time series via self-normalization
- Bootstrap procedures for variance breaks test in time series with a changing trend
- Inference for high‐dimensional linear models with locally stationary error processes
- Banding sample autocovariance matrices of stationary processes
- Estimation of inverse autocovariance matrices for long memory processes
- Predictive inference for locally stationary time series with an application to climate data
- Fixed-smoothing asymptotics for time series
- Gaussian Approximation and Spatially Dependent Wild Bootstrap for High-Dimensional Spatial Data
- Asymptotics for autocovariances and integrated periodograms for linear processes observed at lower frequencies
- Bootstrapping factor models with cross sectional dependence
- Frequency domain bootstrap for ratio statistics under long-range dependence
- Model-free bootstrap for a general class of stationary time series
- Nonlinear spectral density estimation: thresholding the correlogram
- Toward optimal model averaging in regression models with time series errors
- Inverse moment bounds for sample autocovariance matrices based on detrended time series and their applications
- Rejoinder -- Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions
- Covariance matrix estimation and linear process bootstrap for multivariate time series of possibly increasing dimension
- A Durbin-Levinson regularized estimator of high-dimensional autocovariance matrices
- Title not available (Why is that?)
- Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation
- Semi-parametric inference for large-scale data with temporally dependent noise
- A nonparametrically corrected likelihood for Bayesian spectral analysis of multivariate time series
- Banded regularization of autocovariance matrices in application to parameter estimation and forecasting of time series
- High-dimensional autocovariance matrices and optimal linear prediction
- Discussion of ``High-dimensional autocovariance matrices and optimal linear prediction
- Discussion of ``High-dimensional autocovariance matrices and optimal linear prediction
- Estimation of autocovariance matrices for high dimensional linear processes
- Model-free model-fitting and predictive distributions
- Valid Resampling of Higher-Order Statistics Using the Linear Process Bootstrap and Autoregressive Sieve Bootstrap
- Consistent autoregressive spectral estimates: nonlinear time series and large autocovariance matrices
- Spectrum of high-dimensional sample covariance and related matrices: a selective review
- Simultaneous statistical inference for second order parameters of time series under weak conditions
- Estimating Wold matrices and vector moving average processes
- Comparison of nonlinear curves and surfaces
- Compressed covariance estimation with automated dimension learning
- Design-free estimation of variance matrices
- Bootstrap methods for dependent data: a review
- Banded and tapered estimates for autocovariance matrices and the linear process bootstrap
- Validating approximate slope homogeneity in large panels
- Bootstrap inference under cross‐sectional dependence
- A rank-based high-dimensional test for equality of mean vectors
- Covariance matrix estimation for stationary time series
- Discussion on: ``Bootstrap methods for dependent data: a review
- Prediction in Locally Stationary Time Series
- Exploring the sources of uncertainty: why does bagging for time series forecasting work?
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