Consistency of large dimensional sample covariance matrix under weak dependence

Bhattacharjee, Monika ; Bose, Arup (2014) Consistency of large dimensional sample covariance matrix under weak dependence Statistical Methodology, 20 . pp. 11-26. ISSN 1572-3127

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Official URL: http://doi.org/10.1016/j.stamet.2013.08.005

Related URL: http://dx.doi.org/10.1016/j.stamet.2013.08.005

Abstract

Convergence rates for banded and tapered estimates of large dimensional covariance matrices are known when the vector observations are independent and identically distributed. We investigate the case where the independence does not hold. Our models can accommodate suitable patterned cross covariance matrices. These estimators remain consistent in the operator norm with appropriate rates of convergence under suitable class of models.

Item Type:Article
Source:Copyright of this article belongs to Elsevier Science.
ID Code:135046
Deposited On:18 Jan 2023 08:24
Last Modified:20 Jan 2023 07:41

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