A Nonparametric Prewhitened Covariance Estimator

DOI10.1111/1467-9892.00263zbMath1062.62212OpenAlexW3123935455MaRDI QIDQ4677004

Zhijie Xiao, Oliver B. Linton

Publication date: 20 May 2005

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00263

zbMATH Keywords

spectral densitiesmultivariate time series modelsnonparametric prewhitened covariance estimator

Mathematics Subject Classification ID

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

Related Items (7)

Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings ⋮ NONPARAMETRIC INFERENCE FOR UNBALANCED TIME SERIES DATA ⋮ Non-parametric confidence intervals for covariance and correlation ⋮ Nonparametric multiplicative bias correction for kernel-type density estimation on the unit interval ⋮ Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error ⋮ A Modified Nonparametric Prewhitened Covariance Estimator ⋮ The Block-Block Bootstrap for Time Series

Cites Work

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• A multiplicative bias reduction method for nonparametric regression

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