Approximations of the eigenvalues of the covariance matrix of a first order autoregressive process

DOI10.1016/0304-4076(83)90103-3zbMath0487.62075OpenAlexW2014349204MaRDI QIDQ1165545

Roelof J. Stroeker

Publication date: 1983

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(83)90103-3

zbMATH Keywords

algorithmerror boundsRayleigh quotientsfirst order autoregressive processeigenvalues of covariance matrixexplicit approximations

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Probabilistic methods, stochastic differential equations (65C99)

Related Items (2)

Variable selection via penalized credible regions with Dirichlet-Laplace global-local shrinkage priors ⋮ Eigenvalue-eigenvector structure of Schoenmakers-Coffey matrices via Toeplitz technology and applications

Cites Work

• Some new characterizations of the Chebyshev polynomials
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
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