Discussion of “High-dimensional autocovariance matrices and optimal linear prediction”

Wei Biao Wu

doi:10.1214/15-EJS1010

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Home > Journals > Electron. J. Statist. > Volume 9 > Issue 1 > Article

2015 Discussion of “High-dimensional autocovariance matrices and optimal linear prediction”

Wei Biao Wu

Electron. J. Statist. 9(1): 789-791 (2015). DOI: 10.1214/15-EJS1010

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Abstract

In this note I provide some discussion on the paper by “High-dimensional auto covariance matrices and optimal linear prediction” by T. McMurry and D. Politis.

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Wei Biao Wu. "Discussion of “High-dimensional autocovariance matrices and optimal linear prediction”." Electron. J. Statist. 9 (1) 789 - 791, 2015. https://doi.org/10.1214/15-EJS1010

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Received: 1 February 2015; Published: 2015

First available in Project Euclid: 2 April 2015

zbMATH: 1309.62156

MathSciNet: MR3331857

Digital Object Identifier: 10.1214/15-EJS1010

Subjects:

Primary: 62M10

Secondary: 62H12

Keywords: covariance matrix estimation , Linear prediction , spectral density function

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Electron. J. Statist.

Vol.9 • No. 1 • 2015

Institute of Mathematical Statistics and Bernoulli Society

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Wei Biao Wu "Discussion of “High-dimensional autocovariance matrices and optimal linear prediction”," Electronic Journal of Statistics, Electron. J. Statist. 9(1), 789-791, (2015)

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