An Algebraic Estimator for Large Spectral Density Matrices

DOI10.1080/01621459.2022.2126780arXiv2104.01863MaRDI QIDQ6154009

Matteo Barigozzi, Matteo Farnè

Publication date: 19 March 2024

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

Full work available at URL: https://arxiv.org/abs/2104.01863

zbMATH Keywords

sparsitygeneralized dynamic factor modeldynamic ranklarge spectral density matrix

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Unnamed Item
• Latent variable graphical model selection via convex optimization
• Granger causality and path diagrams for multivariate time series
• Testing for short- and long-run causality: a frequency-domain approach
• Data-driven shrinkage of the spectral density matrix of a high-dimensional time series
• The generalized shrinkage estimator for the analysis of functional connectivity of brain signals
• Covariance regularization by thresholding
• Shrinkage estimation in the frequency domain of multivariate time series
• Sparsistency and rates of convergence in large covariance matrix estimation
• Structural shrinkage of nonparametric spectral estimators for multivariate time series
• A large covariance matrix estimator under intermediate spikiness regimes
• Spectral analysis of high-dimensional time series
• Dynamic factor models with infinite-dimensional factor space: asymptotic analysis
• Factor models in high-dimensional time series: A time-domain approach
• Convergence of covariance and spectral density estimates for high-dimensional locally stationary processes
• A Singular Value Thresholding Algorithm for Matrix Completion
• Rank-Sparsity Incoherence for Matrix Decomposition
• Testing Hypotheses About the Number of Factors in Large Factor Models
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Testing for Common Trends
• TESTS FOR SEASONAL COINTEGRATION USING PRINCIPAL COMPONENTS
• Linear Regression in the Frequency Domain
• Automatic Statistical Analysis of Bivariate Nonstationary Time Series
• Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
• ASYMPTOTIC THEORY FOR SPECTRAL DENSITY ESTIMATES OF GENERAL MULTIVARIATE TIME SERIES
• Long-Run Covariability
• An iterative thresholding algorithm for linear inverse problems with a sparsity constraint
• Determining the Number of Factors in the General Dynamic Factor Model
• For most large underdetermined systems of linear equations the minimal 𝓁₁‐norm solution is also the sparsest solution
• Band Spectral Regression with Trending Data
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
• Large Covariance Estimation by Thresholding Principal Orthogonal Complements
• SLEX Analysis of Multivariate Nonstationary Time Series
• The Generalized Dynamic Factor Model
• Time Series
• Graphical interaction models for multivariate time series.
• Economic Predictions With Big Data: The Illusion of Sparsity

This page was built for publication: An Algebraic Estimator for Large Spectral Density Matrices