Abstract Details
Activity Number:
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228
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Type:
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Contributed
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Date/Time:
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Monday, August 4, 2014 : 2:00 PM to 3:50 PM
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Sponsor:
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IMS
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Abstract #312679
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View Presentation
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Title:
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Consistency of Large Sample Autocovariance Matrices
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Author(s):
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Sreenivas Konda*+
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Companies:
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University of California, Santa Barbara
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Keywords:
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Large covariance matrix ;
Consistency ;
Strong mixing ;
Bartlett's formula ;
Linear time series
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Abstract:
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Autoregressive (AR) time series of unknown order but large p are considered to ?t the data generated by a linear process. We estimate the parameters using a regularization method and show the consistency of sample autocovariance matrix by the popular banding procedure using strong mixing conditions. We derive that these estimates are consistent in Frobenius and operator norms as long as (p/n) goes to zero and obtain explicit convergence rates by three di?erent methods. These convergence rates are studied numerically on a simulated example.
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Authors who are presenting talks have a * after their name.
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