Time Varying Autoregressive Moving Average Models for Covariance Estimation

DOI10.1109/TSP.2013.2256900zbMath1393.94490OpenAlexW2081687244MaRDI QIDQ4578562

Ami Wiesel, Amir Globerson, Ofir Bibi

Publication date: 22 August 2018

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tsp.2013.2256900

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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Shrinkage estimation of fixed and random effects in linear quantile mixed models ⋮ Gaussian and robust Kronecker product covariance estimation: existence and uniqueness ⋮ Test for high dimensional covariance matrices ⋮ Time series modeling on dynamic networks

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