Friday, August 22, 2014

 

 



Soy un nuevo usuario

Olvidé mi contraseña

Entrada usuarios

Lógica Matemáticas Astronomía y Astrofísica Física Química Ciencias de la Vida
Ciencias de la Tierra y Espacio Ciencias Agrarias Ciencias Médicas Ciencias Tecnológicas Antropología Demografía
Ciencias Económicas Geografía Historia Ciencias Jurídicas y Derecho Lingüística Pedagogía
Ciencia Política Psicología Artes y Letras Sociología Ética Filosofía


Covariance matrix estimation for stationary time series

1) La descarga del recurso depende de la página de origen
2) Para poder descargar el recurso, es necesario ser usuario
    registrado en Universia

  Descargar recurso   Descargar recurso

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: English  - 

Versión: 1.0

Estado: Final

Tipo:  application/pdf - 

Palabras claveAutocovariance matrix - 

Tipo de recurso: Text  - 

Tipo de Interactividad: Expositivo

Nivel de Interactividad: muy bajo

Audiencia: Estudiante  -  Profesor  -  Autor  - 

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


Otros recursos del mismo autor(es)

  1. Alternating sum formulae for the determinant and other link invariants
  2. The Jones polynomial and graphs on surfaces The Jones polynomial of an alternating link is a certain specialization of the Tutte polynomial of t...
  3. Alternating sum formulae for the determinant and other link invariants A classical result states that the determinant of an alternating link is equal to the number of span...
  4. The Jones polynomial and graphs on surfaces The Jones polynomial of an alternating link is a certain specialization of the Tutte polynomial of t...
  5. CDK11p58 inhibits ERα-positive breast cancer invasion by targeting integrin β3 via the repression of ERα signaling

Otros recursos de la misma colección

  1. Addendum on the scoring of Gaussian directed acyclic graphical models We provide a correction to the expression for scoring Gaussian directed acyclic graphical models der...
  2. An adaptive composite quantile approach to dimension reduction Sufficient dimension reduction [J. Amer. Statist. Assoc. 86 (1991) 316–342] has long been a prominen...
  3. E-optimal designs for second-order response surface models $E$-optimal experimental designs for a second-order response surface model with $k\geq1$ predictors ...
  4. When uniform weak convergence fails: Empirical processes for dependence functions and residuals via epi- and hypographs In the past decades, weak convergence theory for stochastic processes has become a standard tool for...
  5. Gaussian approximation of suprema of empirical processes This paper develops a new direct approach to approximating suprema of general empirical processes by...

Valoración de los usuarios

No hay ninguna valoración para este recurso.Sea el primero en valorar este recurso.
 

Busque un recurso