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Optimal multilinear estimation of a random vector under constraints of causality and limited memory


  • Howlett, P.G.
  • Torokhti, A.
  • Pearce, C.E.M.


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  • Howlett, P.G. & Torokhti, A. & Pearce, C.E.M., 2007. "Optimal multilinear estimation of a random vector under constraints of causality and limited memory," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 869-878, October.
  • Handle: RePEc:eee:csdana:v:52:y:2007:i:2:p:869-878

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    References listed on IDEAS

    1. Ledoit, Olivier & Wolf, Michael, 2004. "A well-conditioned estimator for large-dimensional covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 88(2), pages 365-411, February.
    2. Kubokawa, T. & Srivastava, M. S., 2003. "Estimating the covariance matrix: a new approach," Journal of Multivariate Analysis, Elsevier, vol. 86(1), pages 28-47, July.
    3. Lihong Wang, 2004. "Asymptotics of estimates in constrained nonlinear regression with long-range dependent innovations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 56(2), pages 251-264, June.
    4. Champion, Colin J., 2003. "Empirical Bayesian estimation of normal variances and covariances," Journal of Multivariate Analysis, Elsevier, vol. 87(1), pages 60-79, October.
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