Discussion of ``High-dimensional autocovariance matrices and optimal linear prediction
From MaRDI portal
Publication:5971055
DOI10.1214/15-EJS1007zbMath1309.62151MaRDI QIDQ5971055
Publication date: 21 April 2015
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ejs/1427990074
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M15: Inference from stochastic processes and spectral analysis
Cites Work
- Unnamed Item
- High-dimensional autocovariance matrices and optimal linear prediction
- Covariance and precision matrix estimation for high-dimensional time series
- The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
- A Constrainedℓ1Minimization Approach to Sparse Precision Matrix Estimation
- Banded and tapered estimates for autocovariance matrices and the linear process bootstrap