Shrinkage estimation in the frequency domain of multivariate time series

DOI10.1016/j.jmva.2008.09.009zbMath1157.62063OpenAlexW2067934082MaRDI QIDQ1006672

Hilmar Böhm, Rainer von Sachs

Publication date: 25 March 2009

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2078.1/93249

zbMATH Keywords

regularizationcondition numberspectral analysisshrinkagemultivariate time series

Mathematics Subject Classification ID

Related Items (11)

Adaptive Bayesian Spectral Analysis of High-Dimensional Nonstationary Time Series ⋮ An Algebraic Estimator for Large Spectral Density Matrices ⋮ Graphical models for nonstationary time series ⋮ Nonparametric inference for stochastic feedforward networks based on cross-spectral analysis of point processes ⋮ The generalized shrinkage estimator for the analysis of functional connectivity of brain signals ⋮ Data-driven shrinkage of the spectral density matrix of a high-dimensional time series ⋮ Classification of multivariate non-stationary signals: the SLEX-shrinkage approach ⋮ 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 ⋮ Properties of linear spectral statistics of frequency-smoothed estimated spectral coherence matrix of high-dimensional Gaussian time series ⋮ Spectral analysis of high-dimensional time series

Uses Software

• astsa

Cites Work

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