Inference for Stationary Processes Using Banded Covariance Matrices

  • Mohsen Pourahmadi
  • Wei Biao Wu
Conference paper
Part of the Contributions to Statistics book series (CONTRIB.STAT.)

We consider prediction and estimation problems by banding covariance matrices of stationary processes. Under a novel short-range dependence condition for a class of nonlinear processes, it is shown that the banded covariance matrix estimates converge in operator norm to the true covariance matrix with reasonable rates of convergence. A sub-sampling approach is proposed to choose the banding parameter.


Time Series Data Covariance Matrice Toeplitz Matrice Nonlinear Time Series Covariance Matrix Estimate 


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Copyright information

© Physica-Verlag Heidelberg 2008

Authors and Affiliations

  • Mohsen Pourahmadi
    • 1
  • Wei Biao Wu
    • 2
  1. 1.Northern Illinois UniversityUSA
  2. 2.University of ChicagoUSA

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