publication . Report . Other literature type . 2017

More on Estimation of Banded and Banded Toeplitz Covariance Matrices

Berntsson, Fredrik; Singull, Martin;
Open Access English
  • Published: 01 Jan 2017
  • Publisher: Linköpings universitet, Beräkningsmatematik
  • Country: Sweden
Abstract
In this paper we consider two different linear covariance structures, e.g., banded and bended Toeplitz, and how to estimate them using different methods, e.g., by minimizing different norms. One way to estimate the parameters in a linear covariance structure is to use tapering, which has been shown to be the solution to a universal least squares problem. We know that tapering not always guarantee the positive definite constraints on the estimated covariance matrix and may not be a suitable method. We propose some new methods which preserves the positive definiteness and still give the correct structure. More specific we consider the problem of estimating paramet...
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free text keywords: Probability Theory and Statistics, Sannolikhetsteori och statistik
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