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Robust estimation for the covariance matrix of multi‐variate time series

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  • Byungsoo Kim
  • Sangyeol Lee

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  • Byungsoo Kim & Sangyeol Lee, 2011. "Robust estimation for the covariance matrix of multi‐variate time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(5), pages 469-481, September.
    • Handle: RePEc:bla:jtsera:v:32:y:2011:i:5:p:469-481
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    Cited by:

    1. Kim, Byungsoo & Lee, Sangyeol, 2013. "Robust estimation for the covariance matrix of multivariate time series based on normal mixtures," Computational Statistics & Data Analysis, Elsevier, vol. 57(1), pages 125-140.
    2. Byungsoo Kim & Sangyeol Lee, 2014. "Minimum density power divergence estimator for covariance matrix based on skew $$t$$ t distribution," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 23(4), pages 565-575, November.
    3. Fokianos, Konstantinos & Fried, Roland & Kharin, Yuriy & Voloshko, Valeriy, 2022. "Statistical analysis of multivariate discrete-valued time series," Journal of Multivariate Analysis, Elsevier, vol. 188(C).

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