## Covariance matrix estimation for stationary time series

*Xiao, Han*;

*Wu, Wei Biao*;

- Publisher: The Institute of Mathematical Statistics
- Journal: issn: 0090-5364
Related identifiers: - Subject: spectral density | 62M10 | thresholding | banding | physical dependence measure | Mathematics - Statistics Theory | short range dependence | 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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