Large Covariance and Autocovariance Matrices

大协方差和自协方差矩阵

代数学

原   价:
616.25
售   价:
493.00
优惠
平台大促 低至8折优惠
发货周期:预计5-7周发货
出  版 社
出版时间
2020年12月18日
装      帧
平装
ISBN
9780367734107
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页      码
296
开      本
234 x 156 mm (6.14 x 9.21
语      种
英文
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图书简介
Large Covariance and Autocovariance Matrices brings together a collection of recent results on sample covariance and autocovariance matrices in high-dimensional models and novel ideas on how to use them for statistical inference in one or more high-dimensional time series models. The prerequisites include knowledge of elementary multivariate analysis, basic time series analysis and basic results in stochastic convergence.Part I is on different methods of estimation of large covariance matrices and auto-covariance matrices and properties of these estimators. Part II covers the relevant material on random matrix theory and non-commutative probability. Part III provides results on limit spectra and asymptotic normality of traces of symmetric matrix polynomial functions of sample auto-covariance matrices in high-dimensional linear time series models. These are used to develop graphical and significance tests for different hypotheses involving one or more independent high-dimensional linear time series. The book should be of interest to people in econometrics and statistics (large covariance matrices and high-dimensional time series), mathematics (random matrices and free probability) and computer science (wireless communication). Parts of it can be used in post-graduate courses on high-dimensional statistical inference, high-dimensional random matrices and high-dimensional time series models. It should be particularly attractive to researchers developing statistical methods in high-dimensional time series models. Arup Bose is a professor at the Indian Statistical Institute, Kolkata, India. He is a distinguished researcher in mathematical statistics and has been working in high-dimensional random matrices for the last fifteen years. He has been editor ofSankhya for several years and has been on the editorial board of several other journals. He is a Fellow of the Institute of Math
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