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Banded Regularization of Autocovariance Matrices in Application to Parameter Estimation and Forecasting of Time Series
Summary The paper addresses a ālarge pāsmall nā problem in a time series framework and considers properties of banded regularization of an empirical autocovariance matrix of a time series process. Utilizing the banded autocovariance matrix enables us to fit a much longer auto-regressive AR(p) model to the observed data than ā¦