Local Whittle estimation of high-dimensional long-run variance and precision matrices (Q6183868)
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scientific article; zbMATH DE number 7783620
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| English | Local Whittle estimation of high-dimensional long-run variance and precision matrices |
scientific article; zbMATH DE number 7783620 |
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Local Whittle estimation of high-dimensional long-run variance and precision matrices (English)
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4 January 2024
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high-dimensional time series
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frequency domain
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short- and long-range dependence
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shrinkage estimation
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spectral density estimation
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local Whittle estimation
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0.8112466335296631
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0.8041994571685791
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0.7841286659240723
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0.7838656902313232
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