The asymptotic spectrum of the EWMA covariance estimator

Physica A: Statistical Mechanics and its Applications

Volumn 385, Issue 2, 2007, Pages 621-630

  Svensson, Jens ^a  

^a ROYAL INSTITUTE OF TECHNOLOGY   (Sweden)

Author keywords

Covariance estimation; EWMA; Noise; Random matrix theory

Indexed keywords

DATA ACQUISITION; NUMERICAL METHODS; PARAMETER ESTIMATION; PROBLEM SOLVING; SIGNAL DETECTION; TIME SERIES ANALYSIS;

ASYMPTOTIC SPECTRUM; COVARIANCE ESTIMATION; EXPONENTIALLY WEIGHTED MOVING AVERAGE; RANDOM MATRIX THEORY;

COVARIANCE MATRIX;

EID: 34548759639     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2007.07.030     Document Type: Article

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