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

DOI10.1111/J.1467-9892.2010.00705.XMaRDI QIDQ5495693zbMATH OpenOpenAlexFDO

Authors Byungsoo Kim, Sangyeol Lee

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

asymptotic normalityconsistencyautocovariancedensity-based divergence measuresrobust estimation of covariance matrix

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Robustness and adaptive procedures (parametric inference) (62F35)

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• Minimum Hellinger distance estimates for parametric models
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Cited in

(14)

• Minimum density power divergence estimator for covariance matrix based on skew \(t\) distribution
• Covariance matrix estimation and linear process bootstrap for multivariate time series of possibly increasing dimension
• Robust surveillance of covariance matrices using a single observation
• Statistical analysis of multivariate discrete-valued time series
• Sequential change point test in the presence of outliers: the density power divergence based approach
• A robust score-driven filter for multivariate time series
• General Robust Bayes Pseudo-Posteriors: Exponential Convergence Results with Applications
• Robust estimation for copula parameter in SCOMDY models
• scientific article; zbMATH DE number 7376767 (Why is no real title available?)
• Highly robust estimation of the autocovariance function
• Robust factor models for high-dimensional time series and their forecasting
• Surveillance of the covariance matrix of multivariate nonlinear time series
• Robust estimation for the covariance matrix of multivariate time series based on normal mixtures
• Robust estimation for the correlation matrix of multivariate longitudinal data

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