• Corpus ID: 237571861

On the extreme eigenvalues of the precision matrix of the nonstationary autoregressive process and its applications to outlier estimation of panel time series

@inproceedings{Yang2021OnTE,
  title={On the extreme eigenvalues of the precision matrix of the nonstationary autoregressive process and its applications to outlier estimation of panel time series},
  author={Junho Yang},
  year={2021}
}
This paper investigates the structural change of the coefficients in the autoregressive process of order one by considering extreme eigenvalues of an inverse covariance matrix (precision matrix). More precisely, under mild assumptions, extreme eigenvalues are observed when the structural change has occurred. A consistent estimator of extreme eigenvalues is provided under the panel time series framework. The proposed estimation method is demonstrated with simulations. 

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