Discussion of ``High-dimensional autocovariance matrices and optimal linear prediction

DOI10.1214/14-EJS953zbMath1309.62153MaRDI QIDQ5971053

Rob Hyndman

Publication date: 21 April 2015

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1415023525

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (2)

Frequency domain bootstrap for ratio statistics under long-range dependence ⋮ Forecasting the unemployment rate over districts with the use of distinct methods

Uses Software

• R
• forecast
• Forecast

Cites Work

• Unnamed Item
• Banded and tapered estimates for autocovariance matrices and the linear process bootstrap
• BIAS-CORRECTED NONPARAMETRIC SPECTRAL ESTIMATION

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