Multivariate time-dependent spectral analysis using Cholesky decomposition
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Nonparametric estimation (62G05) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Applications of statistics to biology and medical sciences; meta analysis (62P10)
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- Adaptive Bayesian Spectral Analysis of High-Dimensional Nonstationary Time Series
- Adaptive Bayesian Time–Frequency Analysis of Multivariate Time Series
- Automatic estimation of multivariate spectra via smoothing splines
- The multiple hybrid bootstrap -- resampling multivariate linear processes
- Tests for comparing time‐invariant and time‐varying spectra based on the Anderson–Darling statistic
- Bayesian circular lattice filters for computationally efficient estimation of multivariate time-varying autoregressive models
- Conditional adaptive Bayesian spectral analysis of replicated multivariate time series
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- Time-dependent frequency domain principal components analysis of multichannel non-stationary signals
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