7 citations · 12 across the 7 of their papers we have counts for
5 papers · 1 filter
Local approximations of inverse block Toeplitz matrices and Baxter-type theorems for long-memory processes
Akihiko Inoue, Junho Yang
We derive sharp approximation error bounds for inverse block Toeplitz matrices associated with multivariate long-memory stationary processes. The error bounds are evaluated for bot…
On the asymptotic behavior of a finite section of the optimal causal filter
Junho Yang
We establish an -bound between the coefficients of the optimal causal filter applied to the data-generating process and its finite sample approximation. Here, we assume that t…
A prediction perspective on the Wiener-Hopf equations for time series
Suhasini Subba Rao, Junho Yang
The Wiener-Hopf equations are a Toeplitz system of linear equations that naturally arise in several applications in time series. These include the update and prediction step of the…
Spectral methods for small sample time series: A complete periodogram approach
Sourav Das, Suhasini Subba Rao, Junho Yang
The periodogram is a widely used tool to analyze second order stationary time series. An attractive feature of the periodogram is that the expectation of the periodogram is approxi…
Reconciling the Gaussian and Whittle Likelihood with an application to estimation in the frequency domain
Suhasini Subba Rao, Junho Yang
In time series analysis there is an apparent dichotomy between time and frequency domain methods. The aim of this paper is to draw connections between frequency and time domain met…