Time-varying spectral matrix estimation via intrinsic wavelet regression for surfaces of Hermitian positive definite matrices

DOI10.1016/j.csda.2022.107477OpenAlexW4220769370WikidataQ114191840 ScholiaQ114191840MaRDI QIDQ2157509

Rainer von Sachs, Joris Chau

Publication date: 22 July 2022

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2022.107477

zbMATH Keywords

Riemannian manifoldHermitian positive definite matricesaffine-invariant metricmultivariate nonstationary time seriessurface wavelet transformtime-varying spectral matrix estimation

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Editorial for the special issue on time series analysis

Uses Software

• pdSpecEst

Cites Work

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