Covariance matrix estimation for stationary time series

DOI10.1214/11-AOS967zbMath1246.62191arXiv1105.4563OpenAlexW2103482025MaRDI QIDQ450046

Han Xiao, Wei-Biao Wu

Publication date: 3 September 2012

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1105.4563

zbMATH Keywords

Toeplitz matrixlarge deviationsthresholdingspectral densitystationary processesbandingtaperingphysical dependence measureshort range dependenceautocovariance matrix

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Large deviations (60F10)

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