Detalles del recurso
Pertenece a:
Project Euclid (Hosted at Cornell University Library)
Descripción: We obtain a sharp convergence rate for banded covariance matrix estimates of stationary processes. A precise order of magnitude is derived for spectral radius of sample covariance matrices. We also consider a thresholded covariance matrix estimator that can better characterize sparsity if the true covariance matrix is sparse. As our main tool, we implement Toeplitz [Math. Ann. 70 (1911) 351–376] idea and relate eigenvalues of covariance matrices to the spectral densities or Fourier transforms of the covariances. We develop a large deviation result for quadratic forms of stationary processes using m-dependence approximation, under the framework of causal representation and physical dependence measures.
Autor(es): Xiao, Han - Wu, Wei Biao -
Id.: 55202790
Idioma:
inglés
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Versión: 1.0
Estado: Final
Tipo: application/pdf -
Palabras clave: Autocovariance matrix -
Tipo de recurso:
Text
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Tipo de Interactividad: Expositivo
Nivel de Interactividad: muy bajo
Audiencia:
Estudiante
- Profesor
- Autor
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Estructura: Atomic
Coste: no
Copyright: sí
: Copyright 2012 Institute of Mathematical Statistics
Formatos: application/pdf -
Requerimientos técnicos: Browser: Any -
Relación:
[References] 0090-5364
Fecha de contribución: 15-may-2012
Contacto:
Localización:
* doi:10.1214/11-AOS967
