HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES

DOI10.1017/S0266466610000484zbMath1219.62144OpenAlexW2097090106MaRDI QIDQ5199496

Dimitris N. Politis

Publication date: 16 August 2011

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466610000484

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items

The realization problem for tail correlation functions, A Plug‐in Bandwidth Selection Procedure for Long‐Run Covariance Estimation with Stationary Functional Time Series, A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous, A unified approach to self-normalized block sampling, High dimensional efficiency with applications to change point tests, Optimal difference-based variance estimators in time series: a general framework, Moment ratio estimation of autoregressive/unit root parameters and autocorrelation-consistent standard errors, Convergence of covariance and spectral density estimates for high-dimensional locally stationary processes, Nonlinear spectral density estimation: thresholding the correlogram, Batch size selection for variance estimators in MCMC, Oracle M‐Estimation for Time Series Models, Nonparametric estimation of the spectral density of amplitude-modulated time series with missing observations, Bootstrap inference under cross‐sectional dependence, Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models, Evaluating stationarity via change-point alternatives with applications to fMRI data, Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings, Estimating the Spectral Density at Frequencies Near Zero, Higher‐Order Accurate Spectral Density Estimation of Functional Time Series, On the asymptotic normality of kernel estimators of the long run covariance of functional time series, A higher-order correct fast moving-average bootstrap for dependent data, Local Whittle estimation of high-dimensional long-run variance and precision matrices, ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS, Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects, \(M\)-procedures for detection of a change under weak dependence, Aggregation of spectral density estimators, Design-free estimation of variance matrices, Change-point detection in panel data via double CUSUM statistic, ON SIZE AND POWER OF HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS, Unsupervised Self-Normalized Change-Point Testing for Time Series, Discussion on: ``Bootstrap methods for dependent data: a review, Tests for Scale Changes Based on Pairwise Differences, Asymptotic Behavior of Optimal Weighting in Generalized Self‐Normalization for Time Series, High-dimensional autocovariance matrices and optimal linear prediction, Time-varying functional principal components for non-stationary \(\text{EpCO}_2\) in freshwater systems, Covariance matrix estimation and linear process bootstrap for multivariate time series of possibly increasing dimension

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Large Sample Properties of Generalized Method of Moments Estimators
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Bootstrapping GMM estimators for time series
• Higher-order accurate polyspectral estimation with flat-top lag-windows
• Asymptotic normality, strong mixing and spectral density estimates
• On Wielandt's inequality and its application to the asymptotic distribution of the eigenvalues of a random symmetric matrix
• Time series: theory and methods.
• ARMA model identification
• Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator
• Resampling methods for dependent data
• Asymptotic spectral theory for nonlinear time series
• Adapting to Unknown Smoothness via Wavelet Shrinkage
• Inference For Autocorrelations Under Weak Assumptions
• Asymptotically Minimax Adaptive Estimation. I: Upper Bounds. Optimally Adaptive Estimates
• On Consistent Estimates of the Spectrum of a Stationary Time Series
• Mathematical Considerations in the Estimation of Spectra
• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
• Asymptotically Minimax Adaptive Estimation. II. Schemes without Optimal Adaptation: Adaptive Estimators
• Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models
• Automatic Lag Selection in Covariance Matrix Estimation
• BIAS-CORRECTED NONPARAMETRIC SPECTRAL ESTIMATION
• Automatic Block-Length Selection for the Dependent Bootstrap
• Adaptive bandwidth choice
• On a Problem of Adaptive Estimation in Gaussian White Noise
• THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN
• EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN
• Nonparametric regression with infinite order flat-top kernels
• Bandwidth Selection in Nonparametric Kernel Testing
• Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
• Inference in Arch and Garch Models with Heavy-Tailed Errors
• Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
• Basic Considerations in the Estimation of Spectra