A unified view of multitaper multivariate spectral estimation

DOI10.1093/biomet/87.4.767zbMath1028.62075MaRDI QIDQ2739329

A. T. Walden

Publication date: 9 September 2001

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/87.4.767

zbMATH Keywords

Wishart distribution; cross-spectrum; multitapering; lag-window; multiple coherence; segment averaging

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62M15: Inference from stochastic processes and spectral analysis

Related Items

The Variance Profile, Intrinsic Wavelet Regression for Curves of Hermitian Positive Definite Matrices, AUTOMATIC POSITIVE SEMIDEFINITE HAC COVARIANCE MATRIX AND GMM ESTIMATION, A new non‐parametric cross‐spectrum estimator, Short-window spectral analysis using AMVAR and multitaper methods: a comparison, On the theory of continuous time series, A spectral approach to estimate the autocovariance function, Time-varying spectral matrix estimation via intrinsic wavelet regression for surfaces of Hermitian positive definite matrices, Estimation of long-range dependence in gappy Gaussian time series, Coherence-based time series clustering for statistical inference and visualization of brain connectivity, 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, Multivariate Granger causality: an estimation framework based on factorization of the spectral density matrix