Discussion of ``High-dimensional autocovariance matrices and optimal linear prediction

DOI10.1214/15-EJS1010zbMath1309.62156MaRDI QIDQ2340877

Wei-Biao Wu

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/1427990072

zbMATH Keywords

linear predictionspectral density functioncovariance matrix estimation

Mathematics Subject Classification ID

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)

Cites Work

• Inverse moment bounds for sample autocovariance matrices based on detrended time series and their applications
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