Data-driven shrinkage of the spectral density matrix of a high-dimensional time series
DOI10.1214/14-EJS977zbMATH Open1320.62121MaRDI QIDQ489160FDOQ489160
Authors: Mark Fiecas, Rainer von Sachs 
Publication date: 27 January 2015
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ejs/1421330627
Recommendations
- Shrinkage estimation in the frequency domain of multivariate time series
- Spectral analysis of high-dimensional time series
- Structural shrinkage of nonparametric spectral estimators for multivariate time series
- A shrinkage estimator for spectral densities
- Sample covariance shrinkage for high dimensional dependent data
Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Inference from stochastic processes and spectral analysis (62M15)
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Cited In (14)
- Structural shrinkage of nonparametric spectral estimators for multivariate time series
- On the asymptotic distribution of the maximum sample spectral coherence of Gaussian time series in the high dimensional regime
- Time series clustering and classification via frequency domain methods
- An Algebraic Estimator for Large Spectral Density Matrices
- Tests for the existence of group effects and interactions for two-way models with dependent errors
- Spectral analysis of high-dimensional time series
- Time series graphical Lasso and sparse VAR estimation
- The generalized shrinkage estimator for the analysis of functional connectivity of brain signals
- A nonparametrically corrected likelihood for Bayesian spectral analysis of multivariate time series
- A shrinkage estimator for spectral densities
- Adaptive Bayesian Spectral Analysis of High-Dimensional Nonstationary Time Series
- Change-point detection in panel data via double CUSUM statistic
- Intrinsic Data Depth for Hermitian Positive Definite Matrices
- Shrinkage estimation in the frequency domain of multivariate time series
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