Local Covariance Estimation Using Costationarity
| dc.contributor.author | Cardinali, Alessandro | |
| dc.date.accessioned | 2019-03-14T15:30:24Z | |
| dc.date.available | 2019-03-14T15:30:24Z | |
| dc.date.issued | 2014 | |
| dc.identifier.isbn | 9781493905683 | |
| dc.identifier.issn | 2194-1009 | |
| dc.identifier.issn | 2194-1017 | |
| dc.identifier.uri | http://hdl.handle.net/10026.1/13473 | |
| dc.description.abstract |
In this paper we propose a novel estimator for the time-varying covariance of locally stationary time series. This new approach is based on costationary combinations, that is, time-varying deterministic combinations of locally stationary time series that are second-order stationary. We show with a simulation example that the new estimator has smaller variance than other approaches exclusively based on the evolutionary cross-periodogram, and can therefore be appealing in a large number of applications. | |
| dc.format.extent | 53-60 | |
| dc.language.iso | en | |
| dc.publisher | Springer New York | |
| dc.rights | Attribution 4.0 International | |
| dc.rights | Attribution 4.0 International | |
| dc.rights | Attribution 4.0 International | |
| dc.rights | Attribution 4.0 International | |
| dc.rights | Attribution 4.0 International | |
| dc.rights | Attribution 4.0 International | |
| dc.rights | Attribution 4.0 International | |
| dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | |
| dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | |
| dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | |
| dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | |
| dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | |
| dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | |
| dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | |
| dc.title | Local Covariance Estimation Using Costationarity | |
| dc.type | conference | |
| dc.type | Conference Proceeding | |
| plymouth.volume | 74 | |
| plymouth.publication-status | Published | |
| plymouth.journal | Springer Proceedings in Mathematics and Statistics | |
| dc.identifier.doi | 10.1007/978-1-4939-0569-0_6 | |
| plymouth.organisational-group | /Plymouth | |
| plymouth.organisational-group | /Plymouth/Faculty of Science and Engineering | |
| plymouth.organisational-group | /Plymouth/Faculty of Science and Engineering/School of Engineering, Computing and Mathematics | |
| plymouth.organisational-group | /Plymouth/REF 2021 Researchers by UoA | |
| plymouth.organisational-group | /Plymouth/REF 2021 Researchers by UoA/EXTENDED UoA 10 - Mathematical Sciences | |
| plymouth.organisational-group | /Plymouth/REF 2021 Researchers by UoA/UoA10 Mathematical Sciences | |
| plymouth.organisational-group | /Plymouth/Users by role | |
| plymouth.organisational-group | /Plymouth/Users by role/Academics | |
| dc.identifier.eissn | 2194-1017 | |
| dc.rights.embargoperiod | Not known | |
| rioxxterms.versionofrecord | 10.1007/978-1-4939-0569-0_6 | |
| rioxxterms.licenseref.uri | http://creativecommons.org/licenses/by/4.0/ | |
| rioxxterms.type | Conference Paper/Proceeding/Abstract |
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