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

DOI10.1214/15-EJS996zbMath1309.62152OpenAlexW2064997667MaRDI QIDQ5971054

Yulia R. Gel, Wilfredo Palma

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/1427990073

zbMATH Keywords

predictionregularizationtime seriesautocovariance estimation

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)

Cites Work

• Unnamed Item
• Estimation of inverse autocovariance matrices for long memory processes
• Strong consistency of the regularized least-squares estimates of infinite autoregressive models
• Efficient parameter estimation for self-similar processes
• Order selection for same-realization predictions in autoregressive processes
• Banded Regularization of Autocovariance Matrices in Application to Parameter Estimation and Forecasting of Time Series

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