Different estimators of the spectral matrix: an empirical comparison testing a new shrinkage estimator

DOI10.1080/03610926.2013.809117MaRDI QIDQ2807686zbMATH OpenOpenAlexFDO

Authors Matteo Farnè, Angela Montanari

Publication date 25 May 2016

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2013.809117

zbMATH Keywords

multivariate spectrummultivariate time seriesshrinkage estimatorsmoothed periodogram

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Ridge regression; shrinkage estimators (Lasso) (62J07) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• A unified view of multitaper multivariate spectral estimation
• A well-conditioned estimator for large-dimensional covariance matrices
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• Shrinkage estimation in the frequency domain of multivariate time series
• Structural shrinkage of nonparametric spectral estimators for multivariate time series

Cited in

(4)

• Shrinkage estimation in the frequency domain of multivariate time series
• Structural shrinkage of nonparametric spectral estimators for multivariate time series
• A shrinkage estimator for spectral densities
• The generalized shrinkage estimator for the analysis of functional connectivity of brain signals

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