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

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

CONSISTENT COVARIANCE MATRIX ESTIMATION FOR LINEAR PROCESSES

2002 ◽  
Vol 18 (6) ◽  
pp. 1449-1459 ◽  
Author(s):  
Michael Jansson
Keyword(s):  
Covariance Matrix ◽  
Linear Process ◽  
Covariance Matrix Estimation ◽  
Kernel Estimators ◽  
Linear Processes ◽  
Matrix Estimation ◽  
Long Run ◽  
Consistency Proofs

Consistency of kernel estimators of the long-run covariance matrix of a linear process is established under weak moment and memory conditions. In addition, it is pointed out that some existing consistency proofs are in error as they stand.

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