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Abstract Details
Activity Number:
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381
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Type:
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Invited
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Date/Time:
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Tuesday, August 2, 2011 : 2:00 PM to 3:50 PM
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Sponsor:
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IMS
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Abstract - #300072 |
Title:
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Covariance Matrix Estimation in Time Series
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Author(s):
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Wei Wu*+
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Companies:
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The University of Chicago
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Address:
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5734 S University Ave, Chicago, IL, 60637, USA
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Keywords:
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Covariance matrix estimation
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Abstract:
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I will discuss estimation of covariance matrices of stationary processes. Under a short-range dependence condition for a wide class of nonlinear processes, I will show that the banded covariance matrix estimates converge in operator norm to the true covariance matrix with explicit rates of convergence. I will also consider the consistency of the estimate of the inverse covariance matrix. These results are applied to a prediction problem, and error bounds for the finite predictor coefficients are obtained. The work is joint with Mohsen Pourahmadi of TAMU.
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The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.
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