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

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6 Citations (Scopus)


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 languageEnglish
Pages (from-to)792-796
Number of pages5
JournalElectronic Journal of Statistics
Issue number1
Publication statusPublished - 2015

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