عنوان

Large covariance and autocovariance matrices /

شابک

0203730658

شابک

1351398164

شابک

9780203730652

شابک

9781351398169

شابک اشتباه

1138303860

شابک اشتباه

9781138303867

عنوان اصلي

Large covariance and autocovariance matrices /

نام عام مواد

[Book]

نام نخستين پديدآور

Arup Bose, Monika Bhattacharjee.

محل نشرو پخش و غیره

Boca Raton :

نام ناشر، پخش کننده و غيره

CRC Press, Taylor & Francis Group,

تاریخ نشرو بخش و غیره

2018.

نام خاص و کميت اثر

1 online resource.

عنوان فروست

Chapman & Halll/CRC monographs on statistics & applied probability

متن يادداشت

Includes bibliographical references and index.

متن يادداشت

Part Part I -- chapter 1 LARGE COVARIANCE MATRIX I -- chapter 2 LARGE COVARIANCE MATRIX II -- chapter 3 LARGE AUTOCOVARIANCE MATRIX -- part Part II -- chapter 4 SPECTRAL DISTRIBUTION -- chapter 5 NON-COMMUTATIVE PROBABILITY -- chapter 6 GENERALIZED COVARIANCE MATRIX I -- chapter 7 GENERALIZED COVARIANCE MATRIX II -- part Part III -- chapter 8 SPECTRA OF AUTOCOVARIANCE MATRIX I -- chapter 9 SPECTRA OF AUTOCOVARIANCE MATRIX II -- chapter 10 GRAPHICAL INFERENCE -- chapter 11 TESTING WITH TRACE.

بدون عنوان

0

متن يادداشت

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.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 of Sankhy? for several years and has been on the editorial board of several other journals. He is a Fellow of the Institute of Mathematical Statistics, USA and all three national science academies of India, as well as the recipient of the S.S. Bhatnagar Award and the C.R. Rao Award. His first book Patterned Random Matrices was also published by Chapman & Hall. He has a forthcoming graduate text U-statistics, M-estimates and Resampling (with Snigdhansu Chatterjee) to be published by Hindustan Book Agency. Monika Bhattacharjee is a post-doctoral fellow at the Informatics Institute, University of Florida. After graduating from St. Xavier's College, Kolkata, she obtained her master's in 2012 and PhD in 2016 from the Indian Statistical Institute. Her thesis in high-dimensional covariance and auto-covariance matrices, written under the supervision of Dr. Bose, has received high acclaim.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.

عنوان

Large covariance and autocovariance matrices.

شماره استاندارد بين المللي کتاب و موسيقي

9781138303867

موضوع مستند نشده

Analysis of covariance.

موضوع مستند نشده

Matrices.

موضوع مستند نشده

Analysis of covariance.

موضوع مستند نشده

MATHEMATICS / Algebra / Intermediate

موضوع مستند نشده

Matrices.

موضوع مستند نشده

MAT-- 002040

موضوع مستند نشده

PBT

شماره

ويراست

شماره رده

نشانه اثر

مستند نام اشخاص تاييد نشده

Bose, Arup

مستند نام اشخاص تاييد نشده

Bhattacharjee, Monika

تاريخ عمليات

20200822180017.0

قواعد فهرست نويسي ( بخش توصيفي )

pn

نام الکترونيکي

نوع ماده

[Book]

تكميل شده

Y