Spectral Analysis of High-dimensional Time Series

26 Oct 2018 Fiecas Mark Leng Chenlei Liu Weidong Yu Yi

A useful approach for analysing multiple time series is via characterising their spectral density matrix as the frequency domain analog of the covariance matrix. When the dimension of the time series is large compared to their length, regularisation based methods can overcome the curse of dimensionality, but the existing ones lack theoretical justification... (read more)

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  • STATISTICS THEORY
  • METHODOLOGY
  • STATISTICS THEORY