Covariance and precision matrix estimation for high-dimensional time series

Annals of Statistics

Volumn 41, Issue 6, 2013, Pages 2994-3021

  Chen, Xiaohui ^a   Xu, Mengyu ^b   Wu, Wei Biao ^b  

^a UNIVERSITY OF ILLINOIS AT URBANA CHAMPAIGN   (United States)

^b UNIVERSITY OF CHICAGO   (United States)

Author keywords

Consistency; Covariance matrix; Dependence; Functional dependence measure; High dimensional inference; Lasso; Nagaev inequality; Nonstationary time series; Precision matrix; Sparsity; Spatial temporal processes; Thresholding

Indexed keywords

EID: 84891934068     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/13-AOS1182     Document Type: Article

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