Li, Zeng; Pan, Guangming; Yao, Jianfeng - In: Journal of Multivariate Analysis 137 (2015) C, pp. 119-140
Let (εj)j≥0 be a sequence of independent p-dimensional random vectors and τ≥1 a given integer. From a sample ε1,…,εT+τ of the sequence, the so-called lag-τ auto-covariance matrix is Cτ=T−1∑j=1Tετ+jεjt. When the dimension p is large compared to the sample size T, this paper...