Robust estimation for the covariance matrix of multi-variate time series

DOI10.1111/j.1467-9892.2010.00705.xzbMath1294.62205OpenAlexW1586303198MaRDI QIDQ5495693

Sangyeol Lee, Byungsoo Kim

Publication date: 6 August 2014

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00705.x

zbMATH Keywords

consistencyasymptotic normalityautocovariancedensity-based divergence measuresrobust estimation of covariance matrix

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

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Robust estimation for the covariance matrix of multivariate time series based on normal mixtures ⋮ General Robust Bayes Pseudo-Posteriors: Exponential Convergence Results with Applications ⋮ Robust factor models for high-dimensional time series and their forecasting ⋮ Sequential change point test in the presence of outliers: the density power divergence based approach ⋮ Statistical analysis of multivariate discrete-valued time series ⋮ Minimum density power divergence estimator for covariance matrix based on skew \(t\) distribution ⋮ Robust estimation for copula Parameter in SCOMDY models

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