Data-driven shrinkage of the spectral density matrix of a...

Electronic Journal of Statistics 2014 Vol. 8; Iss. 2

Data-driven shrinkage of the spectral density matrix of a high-dimensional time series

Fiecas, Mark, von Sachs, Rainer
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Volume:
8
Year:
2014
Language:
english
Journal:
Electronic Journal of Statistics
DOI:
10.1214/14-EJS977
File:
PDF, 357 KB
english, 2014
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