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

DOI10.1214/15-EJS1000REJzbMath1309.62155OpenAlexW1975929949MaRDI QIDQ2340878

Timothy L. McMurry, Dimitris N. Politis

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/1427990075

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

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• Covariance matrix estimation for stationary time series
• Bootstrap methods for dependent data: a review
• Simple consistent estimation of the coefficients of a linear filter
• Time series: theory and methods.
• Consistent autoregressive spectral estimates
• The jackknife and the bootstrap for general stationary observations
• Model-free model-fitting and predictive distributions
• Tapered block bootstrap
• The digital rainbow: Some history and applications of numerical spectrum analysis
• Adaptive bandwidth choice

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