Consistency of Large Autocovariance Matrices

Event Date: 

Wednesday, April 23, 2014 - 3:30pm to 5:00pm

Event Date Details: 

Refreshments served at 3:15 PM

Event Location: 

  • South Hall 5607F

Dr. Sreenivas Konda (UCSB)

Title: Consistency of Large Autocovariance Matrices

Abstract: Autoregressive (AR) time series of unknown order but large p is considered to ?t the data generated by a linear process. We estimate the large autocovariance matrix by a regularization method and show the consistency of sample autocovariance matrix by the popular banding procedure using strong mixing conditions. We derive that these estimates are consistent in Frobenius and operator norms as long as (p/n) goes to zero and obtain explicit convergence rates by three di?erent methods. These convergence rates are illustrated numerically on a simulated example.