TY - JOUR
T1 - Estimation of linear functional of large spectral density matrix and application to Whittle’s approach
AU - Akashi, Fumiya
AU - Taniguchi, Masanobu
AU - Tanida, Yoshiyuki
N1 - Funding Information:
The authors are grateful to two anonymous referees for their comments and information about an important reference. The remarks by them led to a significant improvement of the manuscript. The work was supported by by JSPS Grant-in-Aid for Early-Career Scientists (20K13467, Akashi, F.), JSPS Grant-in-Aid for Scientific Research (A) (15H02061) and (S)(18H05290)(Taniguchi, M.).
Publisher Copyright:
© 2021, Japanese Federation of Statistical Science Associations.
PY - 2021/7
Y1 - 2021/7
N2 - We study a class of thresholding autocovariance estimators, given p-dimensional stationary time series data with length n, for a high-dimensional setting where both p and n tend to infinity, with a suitable rate. Also, we give the asymptotic theory for linear functionals of thresholding periodogram matrices, together with its application to Whittle’s approach.
AB - We study a class of thresholding autocovariance estimators, given p-dimensional stationary time series data with length n, for a high-dimensional setting where both p and n tend to infinity, with a suitable rate. Also, we give the asymptotic theory for linear functionals of thresholding periodogram matrices, together with its application to Whittle’s approach.
KW - Autocovariance estimation
KW - Generalized thresholding
KW - High-dimensional non-Gaussian stationary processes
KW - Linear functional of spectra
KW - Whittle estimator
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U2 - 10.1007/s42081-021-00120-4
DO - 10.1007/s42081-021-00120-4
M3 - Article
AN - SCOPUS:85108968413
SN - 2520-8764
VL - 4
SP - 449
EP - 474
JO - Japanese Journal of Statistics and Data Science
JF - Japanese Journal of Statistics and Data Science
IS - 1
ER -