A Durbin–Levinson regularized estimator of high-dimensional autocovariance matrices-Reference-Cited by-同舟云学术

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A Durbin–Levinson regularized estimator of high-dimensional autocovariance matrices

Published:2018-09-17 Issue: Volume: Page:
ISSN:0006-3444
Container-title:Biometrika
language:en
Short-container-title:

Author:

Proietti Tommaso¹,Giovannelli Alessandro¹

Affiliation:

1. Dipartimento di Economia e Finanza, Università di Roma ‘Tor Vergata’, Via Columbia 2, Rome, Italy

Publisher

Oxford University Press (OUP)

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,General Agricultural and Biological Sciences,Agricultural and Biological Sciences (miscellaneous),General Mathematics,Statistics and Probability

Link

http://academic.oup.com/biomet/advance-article-pdf/doi/10.1093/biomet/asy042/25824081/asy042.pdf

Reference27 articles.

1. On the parametrization of autoregressive models by partial autocorrelations;Barndorff-Nielsen;J. Mult. Anal.,1973

2. Consistent autoregressive spectral estimates;Berk;Ann. Statist,1974

3. Linear prediction by autoregressive model fitting in the time domain.;Bhansali;Ann. Statist.,1978

4. Banded regularization of autocovariance matrices in application to parameter estimation and forecasting of time series;Bickel;J. R. Statist. Soc,2011

5. Szegö’s theorem and its probabilistic descendants;Bingham;Prob. Surv.,2012

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