Properties of linear spectral statistics of frequency-smoothed estimated spectral coherence matrix of high-dimensional Gaussian time series

DOI10.1214/21-EJS1923zbMath1493.62348arXiv2111.08047OpenAlexW3214203227MaRDI QIDQ2074296

Alexis Rosuel, Philippe Loubaton

Publication date: 9 February 2022

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

Full work available at URL: https://arxiv.org/abs/2111.08047

zbMATH Keywords

time seriesrandom matricesspectral analysisindependence testhigh dimensional statistics

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Random matrices (probabilistic aspects) (60B20) Inference from stochastic processes and spectral analysis (62M15)

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