Data-driven shrinkage of the spectral density matrix of a high-dimensional time series
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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)
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
Cites work
- A Note on Asymptotic Joint Normality
- A simple generalized crossvalidation method of span selection for periodogram smoothing
- A well-conditioned estimator for large-dimensional covariance matrices
- Autoregressive-aided periodogram bootstrap for time series
- Bootstrapping frequency domain tests in multivariate time series with an application to comparing spectral densities
- Consistent autoregressive spectral estimates
- Covariance estimation: the GLM and regularization perspectives
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- Multivariate spectral analysis using Cholesky decomposition
- Multivariate time-dependent spectral analysis using Cholesky decomposition
- On bootstrapping kernel spectral estimates
- Penalized multivariate Whittle likelihood for power spectrum estimation
- Shrinkage estimation in the frequency domain of multivariate time series
- Some asymptotic theory for the bootstrap
- Structural shrinkage of nonparametric spectral estimators for multivariate time series
- TFT-bootstrap: resampling time series in the frequency domain to obtain replicates in the time domain
- The generalized shrinkage estimator for the analysis of functional connectivity of brain signals
- The multiple hybrid bootstrap -- resampling multivariate linear processes
- Time series. Data analysis and theory.
Cited in
(14)- The generalized shrinkage estimator for the analysis of functional connectivity of brain signals
- Adaptive Bayesian Spectral Analysis of High-Dimensional Nonstationary Time Series
- A nonparametrically corrected likelihood for Bayesian spectral analysis of multivariate time series
- An Algebraic Estimator for Large Spectral Density Matrices
- Shrinkage estimation in the frequency domain of multivariate time series
- A shrinkage estimator for spectral densities
- Structural shrinkage of nonparametric spectral estimators for multivariate time series
- Intrinsic Data Depth for Hermitian Positive Definite Matrices
- Spectral analysis of high-dimensional time series
- On the asymptotic distribution of the maximum sample spectral coherence of Gaussian time series in the high dimensional regime
- Change-point detection in panel data via double CUSUM statistic
- Time series graphical Lasso and sparse VAR estimation
- Time series clustering and classification via frequency domain methods
- Tests for the existence of group effects and interactions for two-way models with dependent errors
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