Estimation of inverse autocovariance matrices for long memory processes

DOI10.3150/14-BEJ692zbMath1388.62257arXiv1603.05416MaRDI QIDQ282527

Ching-Kang Ing, Hai-Tang Chiou, Mei-Hui Guo

Publication date: 12 May 2016

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.05416

zbMATH Keywords

long memory processlinear regression modelmodified Cholesky decompositioninverse autocovariance matrix

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

Representation theorems in finite prediction, with applications ⋮ GLS estimation and confidence sets for the date of a single break in models with trends ⋮ Ratio-consistent estimation for long range dependent Toeplitz covariance with application to matrix data whitening ⋮ Discussion of ``High-dimensional autocovariance matrices and optimal linear prediction

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