Time-varying spectral matrix estimation via intrinsic wavelet regression for surfaces of Hermitian positive definite matrices
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DOI: 10.1016/j.csda.2022.107477
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Cited by:
- Bailly, Gabriel & von Sachs, Rainer, 2024. "Time-Varying Covariance Matrices Estimation by Nonlinear Wavelet Thresholding in a Log-Euclidean Riemannian Manifold," LIDAM Discussion Papers ISBA 2024004, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
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Keywords
Multivariate nonstationary time series; Time-varying spectral matrix estimation; Hermitian positive definite matrices; Surface wavelet transform; Riemannian manifold; Affine-invariant metric;All these keywords.
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