Covariance matrix estimation for stationary time series

DOI10.1214/11-AOS967zbMATH Open1246.62191arXiv1105.4563OpenAlexW2103482025MaRDI QIDQ450046FDOQ450046

Authors: Han Xiao, Wei Biao Wu 

Publication date: 3 September 2012

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: We obtain a sharp convergence rate for banded covariance matrix estimates of stationary processes. A precise order of magnitude is derived for spectral radius of sample covariance matrices. We also consider a thresholded covariance matrix estimator that can better characterize sparsity if the true covariance matrix is sparse. As our main tool, we implement Toeplitz [Math. Ann. 70 (1911) 351-376] idea and relate eigenvalues of covariance matrices to the spectral densities or Fourier transforms of the covariances. We develop a large deviation result for quadratic forms of stationary processes using m-dependence approximation, under the framework of causal representation and physical dependence measures.

Full work available at URL: https://arxiv.org/abs/1105.4563

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zbMATH Keywords

taperingspectral densityToeplitz matrixlarge deviationsthresholdingstationary processesphysical dependence measureshort range dependenceautocovariance matrixbanding

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Large deviations (60F10) Estimation in multivariate analysis (62H12)

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Cited In (56)

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• Estimation and inference for precision matrices of nonstationary time series
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• Joint Structural Break Detection and Parameter Estimation in High-Dimensional Nonstationary VAR Models
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