Estimation of linear functional of large spectral density matrix and application to Whittle's approach
DOI10.1007/s42081-021-00120-4zbMath1477.62232OpenAlexW3154931427MaRDI QIDQ825341
Masanobu Taniguchi, Yoshiyuki Tanida, Fumiya Akashi
Publication date: 17 December 2021
Published in: Japanese Journal of Statistics and Data Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s42081-021-00120-4
Whittle estimatorautocovariance estimationgeneralized thresholdinghigh-dimensional non-Gaussian stationary processeslinear functional of spectra
Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)
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