Spectral analysis of sample autocovariance matrices of a class of linear time series in moderately high dimensions

DOI10.3150/16-BEJ807zbMath1388.62272arXiv1504.06360OpenAlexW2612795812MaRDI QIDQ2405106

Lili Wang, Debashis Paul, Alexander Aue

Publication date: 21 September 2017

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.06360

zbMATH Keywords

spectral properties sample autocovariance matrix multivariate linear time series moderately high-dimension

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Random matrices (probabilistic aspects) (60B20) Inference from stochastic processes and spectral analysis (62M15)

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