HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES
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Publication:5199496
DOI10.1017/S0266466610000484zbMath1219.62144MaRDI QIDQ5199496
Publication date: 16 August 2011
Published in: Econometric Theory (Search for Journal in Brave)
62H12: Estimation in multivariate analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M15: Inference from stochastic processes and spectral analysis
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