01198cam a22003258i 4500
210711
210711
180608s2018 flu b 001 0 eng
9781138303867
512.9434
B6L2
Bose, Arup,
372640
Large covariance and autocovariance matrices
London
CRC Press
2019
xxiii, 272 p.
Includes bibliographical references and index.
Large 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
Mathematical statistics
372641
Matrices
372872
Analysis of covariance
372642
Bhattacharjee, Monika
Co author
372643
ddc
BK
0
0
ddc
0
512_943400000000000_B6L2
0
NFIC
356443
VSL
VSL
GEN
2019-01-01
6
7.00
512.9434 B6L2
198163
2019-01-01
8887.20
BK