BANDING SAMPLE AUTOCOVARIANCE MATRICES OF STATIONARY PROCESSES

By Wei Biao Wu, Mohsen Pourahmadi. 2009

139 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/00ba641aa89464931c943a69fcd77be5176837a9

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Citations in the corpus

Global Testing and Large-Scale Multiple Testing for High-Dimensional Covariance Structures (2017, methodology): “These include the banding methods in Wu and Pourahmadi (2009) and Bickel and Levina (2008a), tapering in Furrer and Bengtsson (2007) and Cai et al. (2010), thresholding rules in Bickel and Levina (2008b), El Karoui (2008), Rothman et al. (2009), Cai and Liu (2011), and Fan et al. (2011), penalized…”
Covariance Matrix Estimation under Total Positivity for Portfolio Selection* (2019, background): “In the statistical literature, a number of estimators have been proposed based on banding or soft-thresholding the entries of S [BL08, WP09, CZZ10].”
Banded and tapered estimates for autocovariance matrices and the linear process bootstrap (2010, methodology): “We conducted several simulations to assess the performance of our estimator and to draw a direct comparison with the method of Wu and Pourahmadi (2009); they use a subsampling rule to estimate the banding parameter l, whereas we employ the empirical rule of Section 4.”
Covariance matrix estimation and linear process bootstrap for multivariate time series of possibly increasing dimension (2015, methodology): “This was shown by Wu and Pourahmadi (2009), and to dissolve this problem in the univariate case, they proposed a banded estimator of the sample covariance matrix to achieve consistency.”
Estimating structured high-dimensional covariance and precision matrices: Optimal rates and adaptive estimation (2016, methodology): “These include the banding method in Wu and Pourahmadi (2009) and Bickel and Levina (2008a), tapering in Furrer and Bengtsson (2007) and Cai et al. (2010), thresholding in Bickel and Levina (2008b), El Karoui (2008) and Cai and Liu (2011a), penalized likelihood estimation in Huang et al. (2006),…”
High Dimensional and Banded Vector Autoregressions (2015, background): “See also Wu and Pourahmadi (2009), and Bickel and Gel (2011) for the estimation for the banded covariance matrices for time series.”
Inference of time-varying regression models (2012, methodology): “An estimate of the covariance matrix n can be obtained by using the banding technique as in [4, 50].”
Asymptotic theory for stationary processes (2011, methodology): “(i) We shall use the argument in Wu and Pourahmadi (2009).”