Shrinkage estimation in the frequency domain of multivariate time series
نویسندگان
چکیده
منابع مشابه
Shrinkage estimation in the frequency domain of multivariate time series
Abstract. In this poster on analysis of high dimensional time series, we present a new non-parametric estimator of the spectral matrix with two appealing properties: compared to the traditional smoothed periodogram our shrinkage estimator has a smaller L2 risk and is numerically more stable due to a smaller condition number. We use the concept of ”Kolmogorov” asymptotics where simultaneously th...
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Shrinkage Estimation and Prediction for Time Series
For independent samples, shrinkage estimation theory has been developed systematically. Although shrinkage estimators are biased, they improve the MSE of unbiased ones. In view of this, we will develop shrinkage estimation theory and prediction for dependent samples. First, we propose a shrinkage estimator for the coefficients of AR model, which improves the MSE of the least squares estimator. ...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2009
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2008.09.009