Structural shrinkage of nonparametric spectral estimators for multivariate time series

DOI10.1214/08-EJS236zbMath1320.62198arXiv0804.4738MaRDI QIDQ1951770

Rainer von Sachs, Hilmar Böhm

Publication date: 24 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0804.4738

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62J07: Ridge regression; shrinkage estimators (Lasso)

62M15: Inference from stochastic processes and spectral analysis

Related Items

The generalized shrinkage estimator for the analysis of functional connectivity of brain signals, Banded Regularization of Autocovariance Matrices in Application to Parameter Estimation and Forecasting of Time Series

Uses Software

• astsa

Cites Work

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