頁籤選單縮合
題 名 | Banding Sample Autocovariance Matrices of Stationary Processes |
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作 者 | Wu, Wei Biao; Pourahmadi, Mohsen; | 書刊名 | Statistica Sinica |
卷 期 | 19:4 2009.10[民98.10] |
頁 次 | 頁1755-1768 |
分類號 | 319.16 |
關鍵詞 | Covariance matrix; Prediction; Regularization; Short-range dependence; Stationary process; |
語 文 | 英文(English) |
英文摘要 | Abstract: We consider estimation of covariance matrices of stationary processes. Under a short-range dependence condition for a wide class of nonlinear processes, it is shown that the banded covariance matrix estimates converge in operator norm to the true covariance matrix with explicit rates of convergence. We also establish the consistency of the estimate of the inverse covariance matrix. These results are applied to a prediction problem, and error bounds for the finite predictor coefficients are obtained. A sub-sampling approach is proposed to choose the banding parameter, and simulation results reveal its satisfactory performance for linear and certain nonlinear processes as the procedure is solely based on the second-order characteristics of the underlying process. Selection of the band parameter for nonlinear processes remains an open problem. |
本系統中英文摘要資訊取自各篇刊載內容。