Sign-In
Cart
Large Covariance and Autocovariance Matrices
Hardcover
Series: Chapman & Hall/CRC Monographs on Statistics and Applied Prob
General MathematicsProbability & Statistics
ISBN13: 9781138303867
Publisher: Crc Pr Inc
Published: Jul 3 2018
Pages: 272
Weight: 1.35
Height: 0.90 Width: 6.20 Depth: 9.30
Language: English
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 Sankhyā 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. Xavier's College, Kolkata, she obtained her master's 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.
Also in
Probability & Statistics
The Art of Uncertainty: How to Navigate Chance, Ignorance, Risk and Luck
Spiegelhalter, David
Hardcover
Freakonomics Revised and Expanded Edition: A Rogue Economist Explores the Hidden Side of Everything
Levitt, Steven D.
Dubner, Stephen J.
Paperback
How the World Really Works: The Science Behind How We Got Here and Where We're Going
Smil, Vaclav
Paperback
AP Statistics Premium, 2026: Prep Book with 9 Practice Tests + Comprehensive Review + Online Practice
Sternstein, Martin
Paperback
R for Data Science: Import, Tidy, Transform, Visualize, and Model Data
Cetinkaya-Rundel, Mine
Wickham, Hadley
Grolemund, Garrett
Paperback
Stat 208 Statistical Thinking: A Book for Stat 208 at Virginia Commonwealth University
Street IV, W. Scott
Durfee, Becky
Paperback
Graph Paper Composition Notebook: Quad Ruled 5x5, Grid Paper for Students in Math and Science
Wizo, Math
Paperback
Introduction to Statistics: An Intuitive Guide for Analyzing Data and Unlocking Discoveries
Frost, Jim
Paperback
The Random Universe: How Models and Probability Help Us Make Sense of the Cosmos
Jaffe, Andrew H.
Hardcover
An Introduction to Statistical Learning: With Applications in R
Witten, Daniela
Hastie, Trevor
James, Gareth
Paperback
Mathematical Foundations of Quantum Computing: A Scaffolding Approach
Cheng, Ran
Lee, Peter
Yu, James
Hardcover
Scale: The Universal Laws of Life, Growth, and Death in Organisms, Cities, and Companies
West, Geoffrey
Paperback
How the World Really Works: The Science Behind How We Got Here and Where We're Going
Smil, Vaclav
Hardcover
Social Statistics for a Diverse Society
Frankfort-Nachmias, Chava
Davis, Georgiann
Leon-Guerrero, Anna
Paperback
Schaum's Outline of Probability, Random Variables, and Random Processes, Fourth Edition
Hsu, Hwei P.
Paperback
Building Generative AI Agents: Using Langgraph, Autogen, and Crewai
Deshmukh, Gaurav
Taulli, Tom
Paperback
AI for Robotics: Toward Embodied and General Intelligence in the Physical World
Gopalakrishnan, Keerthana
Imran, Alishba
Paperback
Probably Overthinking It: How to Use Data to Answer Questions, Avoid Statistical Traps, and Make Better Decisions
Downey, Allen B.
Hardcover
The Elements of Statistical Learning: Data Mining, Inference, and Prediction, Second Edition
Friedman, Jerome
Tibshirani, Robert
Hastie, Trevor
Hardcover
The End of Average: Unlocking Our Potential by Embracing What Makes Us Different
Rose, Todd
Paperback
Mathletics: How Gamblers, Managers, and Fans Use Mathematics in Sports, Second Edition
Winston, Wayne L.
Nestler, Scott
Pelechrinis, Konstantinos
Paperback
The Master Algorithm: How the Quest for the Ultimate Learning Machine Will Remake Our World
Domingos, Pedro
Paperback
High School Probability: A New Perspective: For Any High School Curriculum, Including IB, A-Level, AP, and More
Seeds, Spring
Paperback
Advanced Statistics in Research: Reading, Understanding, and Writing Up Data Analysis Results
Hatcher, Larry
Paperback
The Only Math Book You'll Ever Need, Revised Edition: Hundreds of Easy Solutions and Shortcuts for Mastering Everyday Numbers
Heller, Barbara R.
Kogelman, Stanley
Paperback
Regression Analysis: An Intuitive Guide for Using and Interpreting Linear Models
Frost, Jim
Paperback
Probably the Best Book on Statistics Ever Written: How to Beat the Odds and Make Better Decisions
Shapira, Haim
Hardcover
Schaum's Outline of Probability and Statistics, 4th Edition: 897 Solved Problems + 20 Videos
Spiegel, Murray R.
Schiller, John J.
Srinivasan, R. Alu
Paperback
Machine Learning Q and AI: 30 Essential Questions and Answers on Machine Learning and AI
Raschka, Sebastian
Paperback
Mathematical Foundations of Quantum Computing: A Scaffolding Approach
Cheng, Ran
Lee, Peter
Yu, James
Paperback
Learning Statistics with Jamovi: A Tutorial for Beginners in Statistical Analysis
Foxcroft, David
Navarro, Danielle
Paperback
Making ChatGPT Work for You: Getting the Most Out of Generative AI as a Non-Techie
Evelyn, Lydia
Paperback
Practical Uncertainty: Useful Ideas in Decision-Making, Risk, Randomness, & AI
Pishro-Nik, Hossein
Paperback
Large Language Models: A Deep Dive: Bridging Theory and Practice
Keenan, Kevin
Somers, Garrett
Kamath, Uday
Hardcover
Probably Overthinking It: How to Use Data to Answer Questions, Avoid Statistical Traps, and Make Better Decisions
Downey, Allen B.
Paperback
Mathematical Modeling and Computation in Finance: With Exercises and Python and MATLAB Computer Codes
Oosterlee, Cornelis W.
Grzelak, Lech A.
Paperback
Student's Solutions Guide for Introduction to Probability, Statistics, and Random Processes
Pishro-Nik, Hossein
Paperback
The Theory That Would Not Die: How Bayes' Rule Cracked the Enigma Code, Hunted Down Russian Submarines, and Emerged Triumphant from Two Centuries of C
McGrayne, Sharon Bertsch
Paperback
Modern Time Series Forecasting with Python - Second Edition: Industry-ready machine learning and deep learning time series analysis with PyTorch and p
Tackes, Jeffrey
Joseph, Manu
Paperback
The Design Inference: Eliminating Chance through Small Probabilities
Dembski, William A.
Ewert, Winston
Hardcover
SQL Server 2025 Unveiled: The Ai-Ready Enterprise Database with Microsoft Fabric Integration
Ward, Bob
Paperback
Databricks Data Intelligence Platform: Unlocking the Genai Revolution
Gupta, Nikhil
Yip, Jason
Paperback
Designing Human-Centric AI Experiences: Applied UX Design for Artificial Intelligence
Kore, Akshay
Paperback
Design and Analysis of Experiments by Douglas Montgomery: A Supplement for Using JMP
Karl, Andrew
Wisnowski, James
Rushing, Heath
Paperback
The Unfinished Game: Pascal, Fermat, and the Seventeenth-Century Letter That Made the World Modern
Devlin, Keith
Paperback
The ESRI Guide to GIS Analysis, Volume 2: Spatial Measurements and Statistics
Griffin, Lauren Scott
Mitchell, Andy
Paperback
Challenging Mathematical Problems with Elementary Solutions, Vol. I: Volume 1
Yaglom, I. M.
Yaglom, A. M.
Paperback
Damned Lies and Statistics: Untangling Numbers from the Media, Politicians, and Activists
Best, Joel
Hardcover
Challenging Mathematical Problems with Elementary Solutions, Vol. II: Volume 2
Yaglom, I. M.
Yaglom, A. M.
Paperback
Telling Time Workbook: Practice Reading and Draw the Hand on the Clocks One Hour Half Hour 15 5 1 Minutes
Winny, Renzo
Paperback
Freakonomics REV Ed: A Rogue Economist Explores the Hidden Side of Everything (Large Print Edition)
Levitt, Steven D.
Dubner, Stephen J.
Paperback
Guesstimation: Solving the World's Problems on the Back of a Cocktail Napkin
Adam, John
Weinstein, Lawrence
Paperback
Enterprise Guide for Implementing Generative AI and Agentic AI: A Practical Guide to Developing, Deploying, and Operationalizing Ai-Driven Application
Edward, Shakuntala Gupta
Bhattacharya, Rahul
Sinha, Vikas
Paperback
An Introduction to Statistical Learning: With Applications in Python
Witten, Daniela
Hastie, Trevor
James, Gareth
Paperback
Lies, Damn Lies, and Statistics: The Manipulation of Public Opinion in America
Wheeler, Michael
Paperback
Introduction to Statistics: An Intuitive Guide for Analyzing Data and Unlocking Discoveries
Frost, Jim
Hardcover
Statistical Quantitative Methods in Finance: From Theory to Quantitative Portfolio Management
Ahlawat, Samit
Paperback
A Practical Guide for Mastering Generative AI Applications Using Amazon Bedrock: .
Bhattacharjee, Avik
Hardcover
An Introduction to Statistical Learning: With Applications in Python
Hastie, Trevor
James, Gareth
Witten, Daniela
Hardcover
Reliability: Probabilistic Models and Statistical Methods, Third Edition
Leemis, Lawrence M.
Paperback
Bayesian Analysis with Python - Third Edition: A practical guide to probabilistic modeling
Martin, Osvaldo
Hardcover
Practice Test for the COGAT Grade 5 Level 11: CogAT Test Prep Grade 5: Cognitive Abilities Test Form 7 and 8 for 5th Grade
Origins Publications
Paperback
Optimization and Learning Via Stochastic Gradient Search
Heidergott, Bernd
Vázquez-Abad, Felisa
Hardcover
Bayesian Analysis with Python - Third Edition: A practical guide to probabilistic modeling
Martin, Osvaldo
Paperback
Problems and Solutions in Stochastic Calculus with Applications
Klebaner, Fima C.
Albin, Patrik
Hamza, Kais
Paperback
Bayesian Models: A Statistical Primer for Ecologists, 2nd Edition
Hobbs, N. Thompson
Hooten, Mevin B.
Hardcover