Adaptive bandwidth selection in the long run covariance estimator of functional time series.
Lajos HorváthGregory RiceStephen WhipplePublished in: Comput. Stat. Data Anal. (2016)
Keyphrases
- long run
- short run
- expected cost
- optimal policy
- infinite horizon
- least squares
- heavy traffic
- queueing networks
- control policy
- non stationary
- adaptive filtering
- average reward
- recursive least squares
- autoregressive
- covariance matrix
- exchange rate
- selection criterion
- maximum likelihood
- average cost
- finite horizon
- decision directed
- monte carlo
- linear programming
- optimal solution