Multivariate spectral analysis using Cholesky decomposition

DOI10.1093/BIOMET/91.3.629zbMath1108.62095OpenAlexW2049984030MaRDI QIDQ3429967

Ming Dai, Wensheng Guo

Publication date: 20 March 2007

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/91.3.629

zbMATH Keywords

Smoothing splineBootstrapMultivariate time series

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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