Ratio-consistent estimation for long range dependent Toeplitz covariance with application to matrix data whitening

Peng Tian, Jianfeng Yao

We consider a data matrix $X:=C_N^{1/2}Z{R}_M^{1/2}$ from a multivariate stationary process with a separable covariance function, where $C_N$ is a $N\times N$ positive semi-definite…