vstdct (Q5983705)
From MaRDI portal
!
WARNING
This is the item page for this Wikibase entity, intended for internal use and editing purposes.
Please use the normal view instead:
Nonparametric Estimation of Toeplitz Covariance Matrices
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | vstdct |
Nonparametric Estimation of Toeplitz Covariance Matrices |
Statements
A nonparametric method to estimate Toeplitz covariance matrices from a sample of n independently and identically distributed p-dimensional vectors with mean zero. The data is preprocessed with the discrete cosine matrix and a variance stabilization transformation to obtain an approximate Gaussian regression setting for the log-spectral density function. Estimates of the spectral density function and the inverse of the covariance matrix are provided as well. Functions for simulating data and a protein data example are included. For details see (Klockmann, Krivobokova; 2023), <arXiv:2303.10018>.
0 references
6 July 2023
0 references
