High-dimensional autocovariance matrices and optimal linear prediction

A new methodology for optimal linear prediction of a stationary time series is introduced. Given a sample X1;:::;Xn, the optimal linear predictor of Xn+1 is ~ Xn+1 = 1(n)Xn +

• Publication year

  2015

• Venue

  Electronic Journal of Statistics

• Publication date

  Unknown publication date

• Fields of study

  Mathematics

• Identifiers
  DOI 10.1214/15-EJS1000
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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