Large Covariance and Autocovariance Matrices, By Arup Bose and Monika Bhattacharjee. Published by Taylor & Francis Group, LLC, Boca Raton, London, New York, 2019. ISBN: 9781138303867 (HARDBACK)

DOI10.1111/JTSA.12493MaRDI QIDQ5111786zbMATH OpenOpenAlexFDO

Authors Jian-Feng Yao

Publication date 27 May 2020

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

Full work available at URL https://doi.org/10.1111/jtsa.12493

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Random matrices (probabilistic aspects) (60B20) Inference from stochastic processes and spectral analysis (62M15) Research exposition (monographs, survey articles) pertaining to statistics (62-02) External book reviews (00A17) Toeplitz, Cauchy, and related matrices (15B05)

Cites work

• Large sample covariance matrices and high-dimensional data analysis

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