Covariance and precision matrix estimation for high-dimensional time series

@inproceedings{Chen2013CovarianceAP,
  title={Covariance and precision matrix estimation for high-dimensional time series},
  author={Xiaohui Chen and Mengyu Xu and Wei Biao Wu},
  year={2013}
}
  • Xiaohui Chen, Mengyu Xu, Wei Biao Wu
  • Published 2013
  • Mathematics
  • We consider estimation of covariance matrices and their inverses (a.k.a. precision matrices) for high-dimensional stationary and locally stationary time series. In the latter case the covariance matrices evolve smoothly in time, thus forming a covariance matrix function. Using the functional dependence measure of Wu [Proc. Natl. Acad. Sci. USA 102 (2005) 14150-14154 (electronic)], we obtain the rate of convergence for the thresholded estimate and illustrate how the dependence affects the rate… CONTINUE READING

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