JSM 2011 Online Program

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Abstract Details

Activity Number: 381
Type: Invited
Date/Time: Tuesday, August 2, 2011 : 2:00 PM to 3:50 PM
Sponsor: IMS
Abstract - #300072
Title: Covariance Matrix Estimation in Time Series
Author(s): Wei Wu*+
Companies: The University of Chicago
Address: 5734 S University Ave, Chicago, IL, 60637, USA
Keywords: Covariance matrix estimation
Abstract:

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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