Structural shrinkage of nonparametric spectral estimators for multivariate time series

DOI10.1214/08-EJS236zbMath1320.62198arXiv0804.4738OpenAlexW3100698694MaRDI QIDQ1951770

Hilmar Böhm, Rainer von Sachs

Publication date: 24 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0804.4738

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Inference from stochastic processes and spectral analysis (62M15)

Related Items (6)

An Algebraic Estimator for Large Spectral Density Matrices ⋮ The generalized shrinkage estimator for the analysis of functional connectivity of brain signals ⋮ Data-driven shrinkage of the spectral density matrix of a high-dimensional time series ⋮ Different estimators of the spectral matrix: an empirical comparison testing a new shrinkage estimator ⋮ An Algorithm to Simulate VMA Processes Having a Spectrum with Fixed Condition Number ⋮ Banded Regularization of Autocovariance Matrices in Application to Parameter Estimation and Forecasting of Time Series

Uses Software

• astsa

Cites Work

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