Spectral Correlation Hub Screening of Multivariate Time Series

DOI10.1007/978-3-319-20188-7_13zbMath1378.62088arXiv1403.3371OpenAlexW1513702650MaRDI QIDQ5358736

Alfred O. III Hero, Dennis Wei, Hamed Firouzi

Publication date: 21 September 2017

Published in: Excursions in Harmonic Analysis, Volume 4 (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.3371

zbMATH Keywords

high-dimensional data analysisGaussian stationary processesspectral correlation analysiscomplex-valued correlation screeningcorrelation graphcorrelation networkhub screeningspatiotemporal analysis of multivariate time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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