Different estimators of the spectral matrix: an empirical comparison testing a new shrinkage estimator

DOI10.1080/03610926.2013.809117zbMath1343.62077OpenAlexW2234888167MaRDI QIDQ2807686

Matteo Farnè, Angela Montanari

Publication date: 25 May 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2013.809117

zbMATH Keywords

shrinkage estimatormultivariate time seriessmoothed periodogrammultivariate spectrum

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15)

Cites Work

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• A well-conditioned estimator for large-dimensional covariance matrices
• Shrinkage estimation in the frequency domain of multivariate time series
• Structural shrinkage of nonparametric spectral estimators for multivariate time series
• A unified view of multitaper multivariate spectral estimation

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