Covariance matrix estimation for stationary time series

Preprint, Other literature type English OPEN
Xiao, Han; Wu, Wei Biao;
  • Publisher: The Institute of Mathematical Statistics
  • Journal: issn: 0090-5364
  • Publisher copyright policies & self-archiving
  • Identifiers: doi: 10.1214/11-AOS967
  • Subject: spectral density | 62M10 | thresholding | banding | physical dependence measure | short range dependence | Mathematics - Statistics Theory | stationary process | Autocovariance matrix | Toeplitz matrix | tapering | large deviation | 62H12

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 chara... View more
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