Monika Bhattacharjee

Indian Statistical Institute, Kolkata - Statistics and Mathematics Unit

India

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Estimation of Autocovariance Matrices for Infinite Dimensional Vector Linear Process

Journal of Time Series Analysis, Vol. 35, Issue 3, pp. 262-281, 2014
Number of pages: 20 Posted: 16 Apr 2014
Monika Bhattacharjee and Arup Bose
Indian Statistical Institute, Kolkata - Statistics and Mathematics Unit and Indian Statistical Institute, Kolkata - Statistics and Mathematics Unit
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Abstract:

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High‐dimensional data, IVAR, spatial variable, cross‐sectional variables, variance–covariance matrix, marginal variance–covariance matrix, coefficient matrix, parameter matrix, k‐th order autocovariance matrix, banding, consistency, convergence rate, operator norm