Abstract
I propose new ACF and PACF plots based on the autocovariance estimators of McMurry and Politis. I also show that the forecasting methods they propose perform poorly compared to some relatively simple autoregression algorithms already available.
Citation
Rob J. Hyndman. "Discussion of “High-dimensional autocovariance matrices and optimal linear prediction”." Electron. J. Statist. 9 (1) 792 - 796, 2015. https://doi.org/10.1214/14-EJS953
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