On the maximum of covariance estimators

DOI10.1016/j.jmva.2011.02.003zbMath1274.60068OpenAlexW2037248409MaRDI QIDQ538182

Moritz Jirak

Publication date: 23 May 2011

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2011.02.003

zbMATH Keywords

linear processcovarianceasymptotic extreme value distributionshort memory

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09)

Related Items (9)

Convergence of covariance and spectral density estimates for high-dimensional locally stationary processes ⋮ Simultaneous confidence bands for sequential autoregressive fitting ⋮ Extremes of weighted Brownian bridges in increasing dimension ⋮ (Consistently) testing strict exogeneity against the alternative of predeterminedness in linear time-series models ⋮ Change-point analysis in increasing dimension ⋮ A Darling-Erdős type result for stationary ellipsoids ⋮ A New Test for Checking the Equality of the Correlation Structures of two time Series ⋮ A MAX-CORRELATION WHITE NOISE TEST FOR WEAKLY DEPENDENT TIME SERIES ⋮ Simultaneous inference for autocovariances based on autoregressive sieve bootstrap

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