Local Whittle estimation of high-dimensional long-run variance and precision matrices

DOI10.1214/23-aos2330arXiv2105.13342OpenAlexW4390055434MaRDI QIDQ6183868

Vladas Pipiras, Marie-Christine Düker, Changryong Baek

Publication date: 4 January 2024

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2105.13342

zbMATH Keywords

frequency domainshrinkage estimationspectral density estimationhigh-dimensional time serieslocal Whittle estimationshort- and long-range dependence

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20) Inference from stochastic processes and spectral analysis (62M15)

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