Covariance Matrix Estimation in Time Series

Time Series Analysis: Methods and Applications - Handbook of Statistics ◽

10.1016/b978-0-444-53858-1.00008-9 ◽

2012 ◽

pp. 187-209 ◽

Author(s):

Wei Biao Wu ◽

Han Xiao

Keyword(s):

Time Series ◽

Covariance Matrix ◽

Covariance Matrix Estimation ◽

Matrix Estimation

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Robust Covariance Matrix Estimation in Time Series: A Review

Econometrics and Statistics ◽

10.1016/j.ecosta.2021.12.001 ◽

2021 ◽

Author(s):

Masayuki Hirukawa

Keyword(s):

Time Series ◽

Covariance Matrix ◽

Covariance Matrix Estimation ◽

Matrix Estimation

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Covariance matrix estimation and linear process bootstrap for multivariate time series of possibly increasing dimension

The Annals of Statistics ◽

10.1214/14-aos1301 ◽

2015 ◽

Vol 43 (3) ◽

pp. 1117-1140 ◽

Author(s):

Carsten Jentsch ◽

Dimitris N. Politis

Keyword(s):

Time Series ◽

Covariance Matrix ◽

Multivariate Time Series ◽

Linear Process ◽

Covariance Matrix Estimation ◽

Matrix Estimation

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Error Covariance Matrix Estimation of Noisy and Dynamically Coupled Time Series

Journal of Statistical Physics ◽

10.1007/s10955-012-0683-7 ◽

2013 ◽

Vol 150 (2) ◽

pp. 375-397

Author(s):

Maria Eugenia Mera ◽

Manuel Morán

Keyword(s):

Time Series ◽

Covariance Matrix ◽

Covariance Matrix Estimation ◽

Error Covariance Matrix ◽

Matrix Estimation ◽

Error Covariance

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Covariance matrix estimation for stationary time series

The Annals of Statistics ◽

10.1214/11-aos967 ◽

2012 ◽

Vol 40 (1) ◽

pp. 466-493 ◽

Author(s):

Han Xiao ◽

Wei Biao Wu

Keyword(s):

Time Series ◽

Covariance Matrix ◽

Stationary Time Series ◽

Covariance Matrix Estimation ◽

Matrix Estimation ◽

Stationary Time

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Faculty Opinions recommendation of A shrinkage approach to large-scale covariance matrix estimation and implications for functional genomics.

Faculty Opinions – Post-Publication Peer Review of the Biomedical Literature ◽

10.3410/f.718350670.793493808 ◽

2014 ◽

Author(s):

Zdeněk Valenta

Keyword(s):

Functional Genomics ◽

Covariance Matrix ◽

Large Scale ◽

Covariance Matrix Estimation ◽

Matrix Estimation ◽

Scale Covariance

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High-Frequency Covariance Matrix Estimation Using Price Durations

SSRN Electronic Journal ◽

10.2139/ssrn.3162514 ◽

2018 ◽

Author(s):

Xiaolu Zhao ◽

Ingmar Nolte ◽

Stephen J. Taylor

Keyword(s):

Covariance Matrix ◽

High Frequency ◽

Covariance Matrix Estimation ◽

Matrix Estimation

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Bayesian Covariance Matrix Estimation Using a Mixture of Decomposable Graphical Models

SSRN Electronic Journal ◽

10.2139/ssrn.966635 ◽

2005 ◽

Author(s):

Helen Jean Armstrong ◽

Christopher K. Carter ◽

Kevin Wong ◽

Robert Kohn

Keyword(s):

Covariance Matrix ◽

Graphical Models ◽

Covariance Matrix Estimation ◽

Matrix Estimation ◽

Decomposable Graphical Models

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Weighted Spatial Covariance Matrix Estimation for MUSIC Based TDOA Estimation of Speech Source

10.21437/interspeech.2017-199 ◽

2017 ◽

Author(s):

Chenglin Xu ◽

Xiong Xiao ◽

Sining Sun ◽

Wei Rao ◽

Eng Siong Chng ◽

...

Keyword(s):

Covariance Matrix ◽

Covariance Matrix Estimation ◽

Spatial Covariance ◽

Matrix Estimation

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Optimal Shrinkage Covariance Matrix Estimation Under Random Sampling From Elliptical Distributions

IEEE Transactions on Signal Processing ◽

10.1109/tsp.2019.2908144 ◽

2019 ◽

Vol 67 (10) ◽

pp. 2707-2719 ◽

Author(s):

Esa Ollila ◽

Elias Raninen

Keyword(s):

Covariance Matrix ◽

Random Sampling ◽

Covariance Matrix Estimation ◽

Elliptical Distributions ◽

Matrix Estimation

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Band-Inverse TVAR Covariance Matrix Estimation for Adaptive Detection

IEEE Transactions on Aerospace and Electronic Systems ◽

10.1109/taes.2010.5417169 ◽

2010 ◽

Vol 46 (1) ◽

pp. 375-396 ◽

Author(s):

Yuri I. Abramovich ◽

Nicholas K. Spencer ◽

Ben A. Johnson

Keyword(s):

Covariance Matrix ◽

Covariance Matrix Estimation ◽

Adaptive Detection ◽

Matrix Estimation

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