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

DOI10.1214/15-EJS1007zbMath1309.62151MaRDI QIDQ5971055

Xiaohui Chen

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/1427990074

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
• High-dimensional autocovariance matrices and optimal linear prediction
• Covariance and precision matrix estimation for high-dimensional time series
• The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
• A Constrainedℓ₁Minimization Approach to Sparse Precision Matrix Estimation
• Banded and tapered estimates for autocovariance matrices and the linear process bootstrap

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