Multivariate spectral analysis using Cholesky decomposition
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Publication:3429967
DOI10.1093/BIOMET/91.3.629zbMATH Open1108.62095OpenAlexW2049984030MaRDI QIDQ3429967FDOQ3429967
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
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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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- Intrinsic wavelet regression for curves of Hermitian positive definite matrices
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- 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
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- CHOLESKY DECOMPOSITION OF A VARIANCE MATRIX IN REPEATED MEASURES ANALYSIS
- Periodograms asymptotic distributions in periodically correlated processes and multivariate stationary processes: An alternative approach
- 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
- Multivariate time-dependent spectral analysis using Cholesky decomposition
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