000 | 01198cam a22003258i 4500 | ||
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999 |
_c210711 _d210711 |
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008 | 180608s2018 flu b 001 0 eng | ||
020 | _a9781138303867 | ||
082 |
_a512.9434 _bB6L2 |
||
100 |
_aBose, Arup, _9372640 |
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245 | _aLarge covariance and autocovariance matrices | ||
260 |
_aLondon _bCRC Press _c2019 |
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300 | _axxiii, 272 p. | ||
504 | _aIncludes bibliographical references and index. | ||
520 | _aLarge Covariance and Autocovariance Matrices brings together a collection of recent results on sample covariance and autocovariance matrices in high-dimensional models and novel ideas on how to use them for statistical inference in one or more high-dimensional time series models. The prerequisites include knowledge of elementary multivariate analysis, basic time series analysis and basic results in stochastic convergence. Part I is on different methods of estimation of large covariance matrices and auto-covariance matrices and properties of these estimators. Part II covers the relevant material on random matrix theory and non-commutative probability. Part III provides results on limit spectra and asymptotic normality of traces of symmetric matrix polynomial functions of sample auto-covariance matrices in high-dimensional linear time series models. These are used to develop graphical and significance tests for different hypotheses involving one or more independent high-dimensional linear time series. The book should be of interest to people in econometrics and statistics (large covariance matrices and high-dimensional time series), mathematics (random matrices and free probability) and computer science (wireless communication). Parts of it can be used in post-graduate courses on high-dimensional statistical inference, high-dimensional random matrices and high-dimensional time series models. It should be particularly attractive to researchers developing statistical methods in high-dimensional time series models. https://www.crcpress.com/Large-Covariance-and-Autocovariance-Matrices/Bose-Bhattacharjee/p/book/9781138303867 | ||
650 |
_aMathematical statistics _9372641 |
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650 |
_aMatrices _9372872 |
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650 |
_aAnalysis of covariance _9372642 |
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700 |
_aBhattacharjee, Monika _eCo author _9372643 |
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942 |
_2ddc _cBK |