A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices
نویسندگان
چکیده
منابع مشابه
Discussion of “ High - dimensional autocovariance matrices and optimal linear prediction ” ∗ , †
First, we would like to congratulate Prof. McMurry and Prof. Politis for their thought-provoking paper on the optimal linear prediction based on full time series sample (hereafter, referred as [MP15]). [MP15] considered the one-step optimal linear predictor X∗ n+1 = ∑n i=1 φi(n)Xn+1−i of a univariate time series X1, . . . , Xn in the ` 2 sense which is given by the solution of the Yule-Walker e...
متن کاملHigh-dimensional autocovariance matrices and optimal linear prediction
A new methodology for optimal linear prediction of a stationary time series is introduced. Given a sample X1, . . . , Xn, the optimal linear predictor of Xn+1 is X̃n+1 = φ1(n)Xn + φ2(n)Xn−1 + . . .+φn(n)X1. In practice, the coefficient vector φ(n) ≡ (φ1(n), φ2(n), . . . , φn(n)) is routinely truncated to its first p components in order to be consistently estimated. By contrast, we employ a consi...
متن کاملPeriodic Levinson-Durbin algorithm for entropy maximization
One gives a recursive algorithm for the computation of the first and second order derivatives of the entropy of a periodic autoregressive process with respect to the autocovariances. It is an extension of the periodic LevinsonDurbin algorithm. The algorithm has been developed for use at one of the steps of an entropy maximization method developed by the authors. Numerical examples of entropy ma...
متن کاملRegularized Estimation of High-dimensional Covariance Matrices
Regularized Estimation of High-dimensional Covariance Matrices
متن کاملREJOINDER: High-dimensional autocovariance matrices and optimal linear prediction
We would like to sincerely thank all discussants for their kind remarks and insightful comments. To start with, we wholeheartedly welcome the proposal of Rob Hyndman for a “better acf” plot based on our vector estimator γ̂∗(n) from Section 3.2. As mentioned, the sample autocovariance is not a good estimate for the vector γ(n), and this is especially apparent in the wild excursions it takes at hi...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2017
ISSN: 1556-5068
DOI: 10.2139/ssrn.3003884