A new non‐parametric cross‐spectrum estimator

DOI10.1111/JTSA.12639OpenAlexW4200083480MaRDI QIDQ6134631FDOQ6134631

Authors Evangelos E. Ioannidis

Publication date 22 August 2023

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/jtsa.12639

zbMATH Keywords

spectral matrixCapon estimatorWelch statisticWOSA estimator

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15) Inference from stochastic processes (62Mxx)

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