Multivariate spectral analysis using Cholesky decomposition

DOI10.1093/BIOMET/91.3.629MaRDI QIDQ3429967zbMATH OpenOpenAlexFDO

Authors M. 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

BootstrapMultivariate time seriesSmoothing spline

Mathematics Subject Classification ID

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

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• Spatial interpolation of high-frequency monitoring data
• Adaptive spectral estimation for nonstationary multivariate time series
• Intrinsic wavelet regression for curves of Hermitian positive definite matrices
• ASYMPTOTIC ANALYSIS ABOUT THE PERIODOGRAM OF A GENERAL CLASS OF TIME SERIES MODELS WITH SPECTRAL SUPPORTSON LINES NOT PARALLEL TO THE MAIN DIAGONAL
• A nonparametrically corrected likelihood for Bayesian spectral analysis of multivariate time series
• Conditional adaptive Bayesian spectral analysis of replicated multivariate time series
• Periodograms asymptotic distributions in periodically correlated processes and multivariate stationary processes: An alternative approach
• CHOLESKY DECOMPOSITION OF A VARIANCE MATRIX IN REPEATED MEASURES ANALYSIS
• Canonical correlation analysis between time series and static outcomes, with application to the spectral analysis of heart rate variability
• The multiple hybrid bootstrap -- resampling multivariate linear processes
• Intrinsic Data Depth for Hermitian Positive Definite Matrices
• Data-driven shrinkage of the spectral density matrix of a high-dimensional time series

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