Description: Large Covariance and Autocovariance Matrices by Arup Bose, Monika Bhattacharjee Estimated delivery 3-12 business days Format Hardcover Condition Brand New Description 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.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. 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. Xaviers College, Kolkata, she obtained her masters 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. Author Biography 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. Xaviers College, Kolkata, she obtained her masters 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. Details ISBN 1138303860 ISBN-13 9781138303867 Title Large Covariance and Autocovariance Matrices Author Arup Bose, Monika Bhattacharjee Format Hardcover Year 2018 Pages 272 Publisher Taylor & Francis Ltd GE_Item_ID:139838403; About Us Grand Eagle Retail is the ideal place for all your shopping needs! With fast shipping, low prices, friendly service and over 1,000,000 in stock items - you're bound to find what you want, at a price you'll love! Shipping & Delivery Times Shipping is FREE to any address in USA. Please view eBay estimated delivery times at the top of the listing. 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Price: 122.16 USD
Location: Fairfield, Ohio
End Time: 2024-12-28T07:21:25.000Z
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ISBN-13: 9781138303867
Book Title: Large Covariance and Autocovariance Matrices
Number of Pages: 272 Pages
Language: English
Publication Name: Large Covariance and Autocovariance Matrices
Publisher: CRC Press LLC
Publication Year: 2018
Item Height: 0.9 in
Subject: Probability & Statistics / General, Matrices, Probability & Statistics / Bayesian Analysis
Item Weight: 21 Oz
Type: Textbook
Item Length: 9.4 in
Author: Monika Bhattacharjee, Arup Bose
Subject Area: Mathematics
Item Width: 6.4 in
Series: Chapman and Hall/Crc Monographs on Statistics and Applied Probability Ser.
Format: Hardcover
