Electronic Journal of Statistics

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

Rob J. Hyndman

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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.

Article information

Electron. J. Statist., Volume 9, Number 1 (2015), 792-796.

Received: October 2014
First available in Project Euclid: 3 November 2014

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Autocorrelation autoregression data visualization forecasting serial correlation time series graphics


Hyndman, Rob J. Discussion of “High-dimensional autocovariance matrices and optimal linear prediction”. Electron. J. Statist. 9 (2015), no. 1, 792--796. doi:10.1214/14-EJS953. https://projecteuclid.org/euclid.ejs/1415023525

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  • McMurry, T. L. & Politis, D. N. (2010), ‘Banded and tapered estimates for autocovariance matrices and the linear process bootstrap’, J. Time Series Analysis 31(6), 471–482.
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See also

  • Related item: Timothy L. McMurry, Dimitris N. Politis (2015). High-dimensional autocovariance matrices and optimal linear prediction. Electron. J. Statist. Vol. 9, 753–788.