Discussion of “High-dimensional autocovariance matrices and optimal linear prediction”

Robin John Hyndman

doi:10.1214/14-EJS953

Discussion of “High-dimensional autocovariance matrices and optimal linear prediction”

Robin John Hyndman

Econometrics & Business Statistics

Research output: Contribution to journal › Article › Research › peer-review

4 Citations (Scopus)

Abstract

I propose new ACF and PACF plots based on the autocovari- ance estimators of McMurry and Politis. I also show that the forecasting methods they propose perform poorly compared to some relatively simple autoregression algorithms already available.

Original language	English
Pages (from-to)	792-796
Number of pages	5
Journal	Electronic Journal of Statistics
Volume	9
Issue number	1
DOIs	https://doi.org/10.1214/14-EJS953
Publication status	Published - 2015

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10.1214/14-EJS953

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Cite this

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