JSM 2012 Home

JSM 2012 Online Program

The views expressed here are those of the individual authors and not necessarily those of the JSM sponsors, their officers, or their staff.

Online Program Home

Abstract Details

Activity Number: 53
Type: Invited
Date/Time: Sunday, July 29, 2012 : 4:00 PM to 5:50 PM
Sponsor: General Methodology
Abstract - #303815
Title: Regularization and Prediction of Long-Memory Time Series
Author(s): Wilfredo Palma*+ and Mohsen Pourahmadi
Companies: Pontificia Universidad Cat├│lica de Chile and Texas A&M University
Address: Facultad de Matemáticas, Santiago, International, , Chile
Keywords: Banding ; Consistency ; Long-range dependence
Abstract:

In this talk we consider the estimation of covariance matrices of long-memory stationary processes via banding, i.e. replacing by zero the smaller and less reliable sample autocovariances corresponding to larger lags. For short-memory processes it is known that the sample covariance matrix is not a consistent estimator of its population counterpart in the operator norm. While banded estimators are consistent for short-memory processes under mild conditions (Wu and Pourahmadi, 2009), the problem is open at this time for long-memory processes, but seems to be more hopeful for the banded inverse covariance matrix. We emphasize the important role of increasing order AR model fitting in the banded estimation of the inverse covariance matrix and recast the Haslett and Raftery (1989) approximation of finite predictors of long-memory processes as banding/tapering the Cholesky factor of the inverse covariance matrix. The results are applied to the classical linear prediction problems and their performance is assessed by means of simulations and real time series data.


The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.

Back to the full JSM 2012 program




2012 JSM Online Program Home

For information, contact jsm@amstat.org or phone (888) 231-3473.

If you have questions about the Continuing Education program, please contact the Education Department.