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More on Estimation of Banded and Banded Toeplitz Covariance Matrices
Linköping University, Department of Mathematics, Computational Mathematics. Linköping University, Faculty of Science & Engineering.ORCID iD: 0000-0002-2681-8965
Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.ORCID iD: 0000-0001-9896-4438
2017 (English)Report (Other academic)
Abstract [en]

In this paper we consider two different linear covariance structures, e.g., banded and bended Toeplitz, and how to estimate them using different methods, e.g., by minimizing different norms.

One way to estimate the parameters in a linear covariance structure is to use tapering, which has been shown to be the solution to a universal least squares problem. We know that tapering not always guarantee the positive definite constraints on the estimated covariance matrix and may not be a suitable method. We propose some new methods which preserves the positive definiteness and still give the correct structure.

More specific we consider the problem of estimating parameters of a multivariate normal p–dimensional random vector for (i) a banded covariance structure reflecting m–dependence, and (ii) a banded Toeplitz covariance structure.

Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 2017. , p. 12
Series
LiTH-MAT-R, ISSN 0348-2960 ; 2017:12
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:liu:diva-141051ISRN: LiTH-MAT-R--2017/12--SEOAI: oai:DiVA.org:liu-141051DiVA, id: diva2:1144214
Available from: 2017-09-25 Created: 2017-09-25 Last updated: 2017-10-06Bibliographically approved

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Berntsson, FredrikOhlson, Martin

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CiteExportLink to record
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Citation style
  • apa
  • harvard1
  • ieee
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