Electronic Journal of Statistics

Discussion of “High-dimensional autocovariance matrices and optimal linear prediction”

Xiaohui Chen

Full-text: Open access

Article information

Source
Electron. J. Statist., Volume 9, Number 1 (2015), 801-810.

Dates
Received: February 2015
First available in Project Euclid: 2 April 2015

Permanent link to this document
https://projecteuclid.org/euclid.ejs/1427990074

Digital Object Identifier
doi:10.1214/15-EJS1007

Mathematical Reviews number (MathSciNet)
MR3331860

Zentralblatt MATH identifier
1307.62063

Keywords
Optimal linear predition shrinkage sparsity

Citation

Chen, Xiaohui. Discussion of “High-dimensional autocovariance matrices and optimal linear prediction”. Electron. J. Statist. 9 (2015), no. 1, 801--810. doi:10.1214/15-EJS1007. https://projecteuclid.org/euclid.ejs/1427990074


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References

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  • [LXW13] Liu, W., Xiao, H., and Wu, W. B., Probability and moment inequalities under dependence., Statistica Sinica, 23 :1257–1272, 2013.
  • [MP10] McMurry, T. L. and Politis, D. N., Banded and tapered estimates for autocovairance matrices and the linear bootstrap., Journal of Time Series Analysis, 31:471–482, 2010.
  • [MP15] McMurry, T. L. and Politis, D. N., High-dimensional autocovariance matrices and optimal linear prediction., Electronic Journal of Statistics, 9:753–788, 2015.

See also

  • Related item: Timothy L. McMurry, Dimitris N. Politis (2015). High-dimensional autocovariance matrices and optimal linear prediction. Electron. J. Statist. Vol. 9, 753–788.