Robust Covariance Matrix Estimation with Data-Dependent VAR Prewhitening Order
By W. J. D. Haan, Andrew T. Levin. 2000
62 citations recorded by the source corpus.
Subfields: Finance, Global and Planetary Change, Signal Processing
View Paper: https://www.semanticscholar.org/paper/145ad3ad8613a22a285767311d177c1670542f3f
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Ken West
- Afees A. Salisu
- Todd E. Clark
- Michael W. McCracken
- David E. Rapach
- Barbara Rossi
- Guofu Zhou
- Andrew J. Patton
In Global and Planetary Change
In Signal Processing
Citations in the corpus
- FORECAST EVALUATION (methodology): “Hence one may wish to use an estimator that is both consistent and positive semidefinite by construction [Newey and West (1987, 1994), Andrews (1991), Andrews and Monahan (1994), den Haan and Levin (2000)].”