High-dimensional autocovariance matrices and optimal linear prediction
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Publication:2340876
DOI10.1214/15-EJS1000zbMath1309.62154OpenAlexW2044379973MaRDI QIDQ2340876
Dimitris N. Politis, Timothy L. McMurry
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/1427990071
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)
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Cites Work
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