A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices
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- Tommaso Proietti & Alessandro Giovannelli, 2018. "A Durbin–Levinson regularized estimator of high-dimensional autocovariance matrices," Biometrika, Biometrika Trust, vol. 105(4), pages 783-795.
- Tommaso Proietti & Alessandro Giovannelli, 2017. "A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices," CEIS Research Paper 410, Tor Vergata University, CEIS, revised 19 Jul 2017.
References listed on IDEAS
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Cited by:
- Serge B. Provost & John N. Haddad, 2019. "A recursive approach for determining matrix inverses as applied to causal time series processes," METRON, Springer;Sapienza Università di Roma, vol. 77(1), pages 53-62, April.
- Proietti, Tommaso & Maddanu, Federico, 2024.
"Modelling cycles in climate series: The fractional sinusoidal waveform process,"
Journal of Econometrics, Elsevier, vol. 239(1).
- Tommaso Proietti & Federico Maddanu, 2021. "Modelling Cycles in Climate Series: the Fractional Sinusoidal Waveform Process," CEIS Research Paper 518, Tor Vergata University, CEIS, revised 19 Oct 2021.
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More about this item
Keywords
Toeplitz systems; Optimal linear prediction; Partial autocorrelation function;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
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