An Algorithm to Simulate VMA Processes Having a Spectrum with Fixed Condition Number

DOI10.1080/03610918.2014.930900zbMath1347.65018OpenAlexW2330936272MaRDI QIDQ2816696

Matteo Farnè

Publication date: 25 August 2016

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2014.930900

zbMATH Keywords

algorithmmultivariate time seriesdata simulationwell-conditioningmultivariate spectrumKolmogorov asymptotic estimationvector moving average processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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
• Spectral Analysis for Physical Applications

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