Consistency of large dimensional sample covariance matrix under weak dependence

DOI10.1016/j.stamet.2013.08.005zbMath1486.62157OpenAlexW1974879141MaRDI QIDQ1731211

Arup Bose, Monika Bhattacharjee

Publication date: 13 March 2019

Published in: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.stamet.2013.08.005

zbMATH Keywords

regularizationconvergence ratehigh-dimensional dataoperator normbandingtaperingcovariance matricescross covariances

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Related Items (2)

Two sample tests for high-dimensional autocovariances ⋮ Estimation of autocovariance matrices for high dimensional linear processes

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• Notes on functional analysis

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