On the maximum of covariance estimators

DOI10.1016/J.JMVA.2011.02.003MaRDI QIDQ538182zbMATH OpenOpenAlexFDO

Authors Moritz Jirak

Publication date 23 May 2011

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2011.02.003

zbMATH Keywords

covariancelinear processasymptotic extreme value distributionshort memory

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Central limit and other weak theorems (60F05)

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• Sample autocovariances of long-memory time series
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Cited in

(13)

• Convergence of covariance and spectral density estimates for high-dimensional locally stationary processes
• scientific article; zbMATH DE number 6378006 (Why is no real title available?)
• (Consistently) testing strict exogeneity against the alternative of predeterminedness in linear time-series models
• Minimax estimators of a covariance matrix
• On the multidimensional asymptotic distribution of covariance estimates of stationary mixing sequences
• A max-correlation white noise test for weakly dependent time series
• Change-point analysis in increasing dimension
• IMPROVED MINIMAX ESTIMATOR OF COVARIANCE WHEN ADDITIONAL INFORMATION IS AVAILABLE ON SOME COORDINATES
• Simultaneous inference for autocovariances based on autoregressive sieve bootstrap
• A Darling-Erdős type result for stationary ellipsoids
• Extremes of weighted Brownian bridges in increasing dimension
• A new test for checking the equality of the correlation structures of two time series
• Simultaneous confidence bands for sequential autoregressive fitting

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