Statistical inference for intrinsic wavelet estimators of SPD covariance matrices in a log-Euclidean manifold
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- Bailly, Gabriel & von Sachs, Rainer, 2024. "Time-Varying Covariance Matrices Estimation by Nonlinear Wavelet Thresholding in a Log-Euclidean Riemannian Manifold," LIDAM Discussion Papers ISBA 2024004, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
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More about this item
Keywords
Asymptotic normality ; Average interpolation ; Covariance matrices ; Intrinsic polynomials ; log-Euclidean manifold ; SPD matrices ; Matrix-valued curves ; Nonparametric inference ; Second generation wavelets;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2022-04-18 (Computational Economics)
- NEP-ECM-2022-04-18 (Econometrics)
- NEP-ORE-2022-04-18 (Operations Research)
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