Covariance matrix estimation for stationary time series

Annals of Statistics

Volumn 40, Issue 1, 2012, Pages 466-493

  Xiao, Han ^a   Wu, Wei Biao ^a  

^a UNIVERSITY OF CHICAGO   (United States)

Author keywords

Autocovariance matrix; Banding; Large deviation; Physical dependence measure; Short range dependence; Spectral density; Stationary process; Tapering; Thresholding; Toeplitz matrix

Indexed keywords

EID: 84866867488     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/11-AOS967     Document Type: Article

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