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Spectral density shrinkage for high-dimensional time series

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  • Fiecas, Mark
  • von Sachs, Rainer

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  • Fiecas, Mark & von Sachs, Rainer, 2012. "Spectral density shrinkage for high-dimensional time series," LIDAM Discussion Papers ISBA 2012037, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvad:2012037
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    File URL: https://cdn.uclouvain.be/public/Exports%20reddot/stat/documents/DP2012_37_vonsachs.pdf
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    References listed on IDEAS

    as
    1. Ledoit, Olivier & Wolf, Michael, 2004. "A well-conditioned estimator for large-dimensional covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 88(2), pages 365-411, February.
    2. Ming Dai, 2004. "Multivariate spectral analysis using Cholesky decomposition," Biometrika, Biometrika Trust, vol. 91(3), pages 629-643, September.
    3. Jentsch, Carsten & Kreiss, Jens-Peter, 2010. "The multiple hybrid bootstrap -- Resampling multivariate linear processes," Journal of Multivariate Analysis, Elsevier, vol. 101(10), pages 2320-2345, November.
    4. Holger Dette & Efstathios Paparoditis, 2009. "Bootstrapping frequency domain tests in multivariate time series with an application to comparing spectral densities," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(4), pages 831-857, September.
    5. Bhm, Hilmar & von Sachs, Rainer, 2009. "Shrinkage estimation in the frequency domain of multivariate time series," Journal of Multivariate Analysis, Elsevier, vol. 100(5), pages 913-935, May.
    Full references (including those not matched with items on IDEAS)

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