output
19992026
most citedSparsistency and rates of convergence in large covariance matrix estimation

421 citations

researchers with a paper here

Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

collaborating institutions
Showing 2011 · math.STShow all

3 papers · 2 filters

math.ST2011★ 33 cited

Feature Matching in Time Series Modeling

Yingcun Xia, Howell Tong

Using a time series model to mimic an observed time series has a long history. However, with regard to this objective, conventional estimation methods for discrete-time dynamical m…

math.ST2011★ 51 cited

Mixing properties of ARCH and time-varying ARCH processes

Piotr Fryzlewicz, Suhasini Subba Rao

There exist very few results on mixing for non-stationary processes. However, mixing is often required in statistical inference for non-stationary processes such as time-varying AR…

math.ST2011★ 14 cited

Nonparametric regression with filtered data

Oliver Linton, Enno Mammen, Jens Perch Nielsen +1

We present a general principle for estimating a regression function nonparametrically, allowing for a wide variety of data filtering, for example, repeated left truncation and righ…