Robust estimation for the covariance matrix of multi-variate time series

DOI10.1111/j.1467-9892.2010.00705.xzbMath1294.62205MaRDI QIDQ5495693

Sangyeol Lee, Byungsoo Kim

Publication date: 6 August 2014

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00705.x

zbMATH Keywords

consistency; asymptotic normality; autocovariance; density-based divergence measures; robust estimation of covariance matrix

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F35: Robustness and adaptive procedures (parametric inference)

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