Shrinkage estimation in the frequency domain of multivariate time series (Q1006672): Difference between revisions

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+Q3827448
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+AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
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+Discrimination and Clustering for Multivariate Time Series
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+On Information and Sufficiency
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+Determining the Number of Factors in Approximate Factor Models
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+Principal component analysis.
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+Modulation of estimators and confidence sets.
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+A well-conditioned estimator for large-dimensional covariance matrices
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+DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
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+Limiting spectral distribution for a class of random matrices
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+A simple generalised crossvalidation method of span selection for periodogram smoothing
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+Estimation of the inverse covariance matrix: Random mixtures of the inverse Wishart matrix and the identity
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+Empirical Bayes estimation of the multivariate normal covariance matrix
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+Estimation of a covariance matrix under Stein's loss
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