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


Opción 1: Descargar recurso

Opción 2: Descargar recurso

Detalles del recurso

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.

Pertenece a

Project Euclid (Hosted at Cornell University Library)  

Autor(es)

Xiao, Han -  Wu, Wei Biao - 

Id.: 55202790

Idioma: inglés  - 

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. PALB2, CHEK2 and ATM rare variants and cancer risk: data from COGS Background: The rarity of mutations in PALB2, CHEK2 and ATM make it difficult to estimate precisely ...
  2. Do the Right Thing: But Only if Others do so Social norms play an important role in individual decision making. Bicchieri (2006) argues that two ...
  3. Search for dark matter, extra dimensions, and unparticles in monojet events in proton-proton collisions at sqrt(s) = 8 TeV Submitted to Eur. Phys. J. C, see paper for full list of authors
  4. LiRE 2 Si 3 (RE = Nd, Sm, and Eu) as potential photovoltaic materials
  5. Electronic and magnetic properties of double perovskite slab-rocksalt layer rare earth strontium aluminates natural superlattice structure

Otros recursos de la mismacolección

  1. Extreme eigenvalues of large-dimensional spiked Fisher matrices with application Consider two $p$-variate populations, not necessarily Gaussian, with covariance matrices $\Sigma_{1}...
  2. Flexible results for quadratic forms with applications to variance components estimation We derive convenient uniform concentration bounds and finite sample multivariate normal approximatio...
  3. Approximate group context tree We study a variable length Markov chain model associated with a group of stationary processes that s...
  4. Oracle inequalities for network models and sparse graphon estimation Inhomogeneous random graph models encompass many network models such as stochastic block models and ...
  5. Consistency of spectral hypergraph partitioning under planted partition model Hypergraph partitioning lies at the heart of a number of problems in machine learning and network sc...

Aviso de cookies: Usamos cookies propias y de terceros para mejorar nuestros servicios, para análisis estadístico y para mostrarle publicidad. Si continua navegando consideramos que acepta su uso en los términos establecidos en la Política de cookies.