European University Institute Library

Large covariance and autocovariance matrices, Arup Bose, Monika Bhattacharjee

eng

Includes bibliographical references and index

illustrations

index present

non fiction

Large covariance and autocovariance matrices

bibliography

1041229285

Arup Bose, Monika Bhattacharjee

Monographs on statistics and applied probability, 162

Large Covariance and Autocovariance Matrices brings together a collection of recent results on sample covariance and autocovariance matrices in high-dimensional models and novel ideas on how to use them for statistical inference in one or more high-dimensional time series models. The prerequisites include knowledge of elementary multivariate analysis, basic time series analysis and basic results in stochastic convergence. Part I is on different methods of estimation of large covariance matrices and auto-covariance matrices and properties of these estimators. Part II covers the relevant material on random matrix theory and non-commutative probability. Part III provides results on limit spectra and asymptotic normality of traces of symmetric matrix polynomial functions of sample auto-covariance matrices in high-dimensional linear time series models. These are used to develop graphical and significance tests for different hypotheses involving one or more independent high-dimensional linear time series. --, Provided by publisher