Intrinsic Wavelet Regression for Curves of Hermitian Positive Definite Matrices

DOI10.1080/01621459.2019.1700129zbMath1464.62377arXiv1701.03314OpenAlexW2992965971WikidataQ126575232 ScholiaQ126575232MaRDI QIDQ4999159

Joris Chau, Rainer von Sachs

Publication date: 6 July 2021

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.03314

zbMATH Keywords

Riemannian manifoldmultivariate time seriesHermitian positive definite matriceswavelet thresholdingFourier spectral matrixintrinsic wavelet transform

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Inference from stochastic processes and spectral analysis (62M15) Positive matrices and their generalizations; cones of matrices (15B48)

Related Items (4)

Nonparametric matrix regression function estimation over symmetric positive definite matrices ⋮ Time-varying spectral matrix estimation via intrinsic wavelet regression for surfaces of Hermitian positive definite matrices ⋮ A new non‐parametric cross‐spectrum estimator ⋮ Graphical models for nonstationary time series

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