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Estimation and optimal structure selection of high-dimensional Toeplitz covariance matrix

Yang, YH; Zhou, J; Pan, JX

Pan, JX (corresponding author), Univ Manchester, Dept Math, Oxford Rd, Manchester M13 9PL, Lancs, England.

JOURNAL OF MULTIVARIATE ANALYSIS, 2021; 184 ():

Abstract

The estimation of structured covariance matrix arises in many fields. An appropriate covariance structure not only improves the accuracy of covariance......

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