Structural shrinkage of nonparametric spectral estimators for multivariate time series
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Publication:1951770
DOI10.1214/08-EJS236zbMath1320.62198arXiv0804.4738OpenAlexW3100698694MaRDI QIDQ1951770
Publication date: 24 May 2013
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0804.4738
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Inference from stochastic processes and spectral analysis (62M15)
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Uses Software
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