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Optimal multilinear estimation of a random vector under constraints of causality and limited memory

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  • Howlett, P.G.
  • Torokhti, A.
  • Pearce, C.E.M.

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  • Howlett, P.G. & Torokhti, A. & Pearce, C.E.M., 2007. "Optimal multilinear estimation of a random vector under constraints of causality and limited memory," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 869-878, October.
    • Handle: RePEc:eee:csdana:v:52:y:2007:i:2:p:869-878
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    References listed on IDEAS

    as
    1. Ledoit, Olivier & Wolf, Michael, 2004. "A well-conditioned estimator for large-dimensional covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 88(2), pages 365-411, February.
    2. Anatoli Torokhti & Phil Howlett & Charles Pearce, 2003. "Optimal Mathematical Models for Nonlinear Dynamical Systems," Mathematical and Computer Modelling of Dynamical Systems, Taylor & Francis Journals, vol. 9(3), pages 327-343, September.
    3. Kauermann G. & Carroll R.J., 2001. "A Note on the Efficiency of Sandwich Covariance Matrix Estimation," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 1387-1396, December.
    4. Torokhti, Anatoli & Howlett, Phil, 2003. "Constructing fixed rank optimal estimators with method of best recurrent approximations," Journal of Multivariate Analysis, Elsevier, vol. 86(2), pages 293-309, August.
    5. Kubokawa, T. & Srivastava, M. S., 2003. "Estimating the covariance matrix: a new approach," Journal of Multivariate Analysis, Elsevier, vol. 86(1), pages 28-47, July.
    6. Lihong Wang, 2004. "Asymptotics of estimates in constrained nonlinear regression with long-range dependent innovations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 56(2), pages 251-264, June.
    7. Champion, Colin J., 2003. "Empirical Bayesian estimation of normal variances and covariances," Journal of Multivariate Analysis, Elsevier, vol. 87(1), pages 60-79, October.
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