Banded Regularization of Autocovariance Matrices in Application to Parameter Estimation and Forecasting of Time Series
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Publication:3107199
DOI10.1111/j.1467-9868.2011.00779.xzbMath1228.62106MaRDI QIDQ3107199
Publication date: 21 December 2011
Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9868.2011.00779.x
62F12: Asymptotic properties of parametric estimators
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P12: Applications of statistics to environmental and related topics
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