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Structural shrinkage of nonparametric spectral estimators for
  multivariate time series
v1v2 (latest)

Structural shrinkage of nonparametric spectral estimators for multivariate time series

30 April 2008
H. Bohm
R. Sachs
ArXiv (abs)PDFHTML

Papers citing "Structural shrinkage of nonparametric spectral estimators for multivariate time series"

3 / 3 papers shown
An algebraic estimator for large spectral density matrices
An algebraic estimator for large spectral density matricesJournal of the American Statistical Association (JASA), 2021
M. Barigozzi
M. Farné
285
8
0
05 Apr 2021
Large Spectral Density Matrix Estimation by Thresholding
Large Spectral Density Matrix Estimation by Thresholding
Yiming Sun
Yige Li
Amy Kuceyeski
Sumanta Basu
374
24
0
03 Dec 2018
Large Covariance Estimation by Thresholding Principal Orthogonal
  Complements
Large Covariance Estimation by Thresholding Principal Orthogonal ComplementsJournal of The Royal Statistical Society Series B-statistical Methodology (JRSS-B), 2011
Jianqing Fan
Yuan Liao
Martina Mincheva
669
930
0
30 Dec 2011
1
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