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- W3100593299 abstract "This work aims at estimating inverse autocovariance matrices of long memory processes admitting a linear representation. A modified Cholesky decomposition is used in conjunction with an increasing order autoregressive model to achieve this goal. The spectral norm consistency of the proposed estimate is established. We then extend this result to linear regression models with long-memory time series errors. In particular, we show that when the objective is to consistently estimate the inverse autocovariance matrix of the error process, the same approach still works well if the estimated (by least squares) errors are used in place of the unobservable ones. Applications of this result to estimating unknown parameters in the aforementioned regression model are also given. Finally, a simulation study is performed to illustrate our theoretical findings." @default.
- W3100593299 created "2020-11-23" @default.
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- W3100593299 date "2016-08-01" @default.
- W3100593299 modified "2023-10-18" @default.
- W3100593299 title "Estimation of inverse autocovariance matrices for long memory processes" @default.
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- W3100593299 doi "https://doi.org/10.3150/14-bej692" @default.
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