dc.contributor.author | Politis, Dimitris Nicolas | en |
dc.creator | Politis, Dimitris Nicolas | en |
dc.date.accessioned | 2019-12-02T10:37:49Z | |
dc.date.available | 2019-12-02T10:37:49Z | |
dc.date.issued | 2011 | |
dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/57508 | |
dc.description.abstract | A new class of large-sample covariance and spectral density matrix estimators is proposed based on the notion of flat-top kernels. The new estimators are shown to be higher-order accurate when higher-order accuracy is possible. A discussion on kernel choice is presented as well as a supporting finite-sample simulation. The problem of spectral estimation under a potential lack of finite fourth moments is also addressed. The higher-order accuracy of flat-top kernel estimators typically comes at the sacrifice of the positive semidefinite property. Nevertheless, we show how a flat-top estimator can be modified to become positive semidefinite (even strictly positive definite) while maintaining its higher-order accuracy. In addition, an easy (and consistent) procedure for optimal bandwidth choice is given | en |
dc.description.abstract | this procedure estimates the optimal bandwidth associated with each individual element of the target matrix, automatically sensing (and adapting to) the underlying correlation structure. | en |
dc.source | Econometric Theory | en |
dc.source.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-79952094468&doi=10.1017%2fS0266466610000484&partnerID=40&md5=56c058f01823ce9bbd1e00921590169c | |
dc.title | HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES | en |
dc.type | info:eu-repo/semantics/article | |
dc.identifier.doi | 10.1017/S0266466610000484 | |
dc.description.startingpage | 1 | |
dc.description.endingpage | 42 | |
dc.author.faculty | Σχολή Θετικών και Εφαρμοσμένων Επιστημών / Faculty of Pure and Applied Sciences | |
dc.author.department | Τμήμα Μαθηματικών και Στατιστικής / Department of Mathematics and Statistics | |
dc.type.uhtype | Article | en |
dc.description.notes | <p>Cited By :23 | en |
dc.description.notes | Article in Press</p> | en |
dc.source.abbreviation | Econom.Theory | en |