Covariance matrix estimation for stationary time series

23 May 2011

Papers citing "Covariance matrix estimation for stationary time series"

7 / 7 papers shown

Title
Asymptotic Inference of Autocovariances of Stationary Processes Han Xiao Wei Biao Wu 94 17 0 17 May 2011
Optimal rates of convergence for covariance matrix estimation Tommaso Cai Cun-Hui Zhang Harrison H. Zhou 100 474 0 19 Oct 2010
Cramér Type Moderate Deviation for the Maximum of the Periodogram with Application to Simultaneous Tests in Gene Expression Time Series Weidong Liu Q. Shao 100 18 0 10 Aug 2009
Operator norm consistent estimation of large-dimensional sparse covariance matrices N. Karoui 147 397 0 21 Jan 2009
Covariance regularization by thresholding Peter J. Bickel Elizaveta Levina 152 1,270 0 20 Jan 2009
Regularized estimation of large covariance matrices Peter J. Bickel Elizaveta Levina 101 1,384 0 13 Mar 2008
On maxima of periodograms of stationary processes Zhengyan Lin Weidong Liu 115 25 0 09 Jan 2008