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math.ST2023
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…
math.ST2023
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…