Shrinkage estimation in the frequency domain of multivariate time series

DOI10.1016/j.jmva.2008.09.009zbMath1157.62063OpenAlexW2067934082MaRDI QIDQ1006672

Hilmar Böhm, Rainer von Sachs

Publication date: 25 March 2009

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2078.1/93249

zbMATH Keywords

regularizationcondition numberspectral analysisshrinkagemultivariate time series

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05)

Related Items (11)

Adaptive Bayesian Spectral Analysis of High-Dimensional Nonstationary Time Series ⋮ An Algebraic Estimator for Large Spectral Density Matrices ⋮ Graphical models for nonstationary time series ⋮ Nonparametric inference for stochastic feedforward networks based on cross-spectral analysis of point processes ⋮ The generalized shrinkage estimator for the analysis of functional connectivity of brain signals ⋮ Data-driven shrinkage of the spectral density matrix of a high-dimensional time series ⋮ Classification of multivariate non-stationary signals: the SLEX-shrinkage approach ⋮ Different estimators of the spectral matrix: an empirical comparison testing a new shrinkage estimator ⋮ An Algorithm to Simulate VMA Processes Having a Spectrum with Fixed Condition Number ⋮ Properties of linear spectral statistics of frequency-smoothed estimated spectral coherence matrix of high-dimensional Gaussian time series ⋮ Spectral analysis of high-dimensional time series

Uses Software

• astsa

Cites Work

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

This page was built for publication: Shrinkage estimation in the frequency domain of multivariate time series