On the maximum of covariance estimators

DOI10.1016/J.JMVA.2011.02.003zbMATH Open1274.60068OpenAlexW2037248409MaRDI QIDQ538182FDOQ538182

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

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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)

Cites Work

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• Non-strong mixing autoregressive processes
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• On the Departure from Normality of a Certain Class of Martingales
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• Some limit theory for autocovariances whose order depends on sample size
• On linear processes with dependent innovations
• Approximation theorems for independent and weakly dependent random vectors
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• A CENTRAL LIMIT THEOREM FOR m(n) AUTOCOVARIANCES
• An iterated logarithm law for maxima of nonstationary Gaussian processes

Cited In (13)

• Convergence of covariance and spectral density estimates for high-dimensional locally stationary processes
• Title not available (Why is that?)
• (Consistently) testing strict exogeneity against the alternative of predeterminedness in linear time-series models
• A max-correlation white noise test for weakly dependent time series
• On the multidimensional asymptotic distribution of covariance estimates of stationary mixing sequences
• Minimax estimators of a covariance matrix
• 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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