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Improved estimates for multivariate complex-normal regression with application to analysis of linear time-invariant relationships

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  • Lillestøl, J.

Abstract

The objective of this paper is the estimation of linear time-invariant relationships for a stationary vector-valued time series using the Finite Fourier Transform as the basic statistic. Since this is asymptotically complex-Normal we are led to consider models of multivariate complex-Normal regression. We propose estimates of regression matrices in the tradition of Stein (shrunken estimates) which improve upon the usual estimates. Some experience with simulated time series is reported.

Suggested Citation

  • Lillestøl, J., 1977. "Improved estimates for multivariate complex-normal regression with application to analysis of linear time-invariant relationships," Journal of Multivariate Analysis, Elsevier, vol. 7(4), pages 512-524, December.
    • Handle: RePEc:eee:jmvana:v:7:y:1977:i:4:p:512-524
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