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Positive-Definite Multivariate Spectral Estimation: A Geometric Wavelet Approach

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  • Chau, Van Vinh
  • von Sachs, Rainer

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  • Chau, Van Vinh & von Sachs, Rainer, 2017. "Positive-Definite Multivariate Spectral Estimation: A Geometric Wavelet Approach," LIDAM Discussion Papers ISBA 2017002, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvad:2017002
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    References listed on IDEAS

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    1. Ori Rosen & David S. Stoffer, 2007. "Automatic estimation of multivariate spectra via smoothing splines," Biometrika, Biometrika Trust, vol. 94(2), pages 335-345.
    2. Chau, Van Vinh & von Sachs, Rainer, 2016. "Functional mixed effects wavelet estimation for spectra of replicated time series," LIDAM Discussion Papers ISBA 2016013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    3. Ming Dai, 2004. "Multivariate spectral analysis using Cholesky decomposition," Biometrika, Biometrika Trust, vol. 91(3), pages 629-643, September.
    4. Mark Fiecas & Hernando Ombao, 2016. "Modeling the Evolution of Dynamic Brain Processes During an Associative Learning Experiment," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 111(516), pages 1440-1453, October.
    5. Chau, Van Vinh & von Sachs, Rainer, 2016. "Functional mixed effects wavelet estimation for spectra of replicated time series," LIDAM Reprints ISBA 2016025, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    6. Robert T. Krafty & William O. Collinge, 2013. "Penalized multivariate Whittle likelihood for power spectrum estimation," Biometrika, Biometrika Trust, vol. 100(2), pages 447-458.
    7. Cristina Gorrostieta & Hernando Ombao & Raquel Prado & Shaun Patel & Emad Eskandar, 2012. "Exploring dependence between brain signals in a monkey during learning," Journal of Time Series Analysis, Wiley Blackwell, vol. 33(5), pages 771-778, September.
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    Cited by:

    1. Chau, Van Vinh & Ombao, Hernando & von Sachs, Rainer, 2017. "Data depth and rank-based tests for covariance and spectral density matrices," LIDAM Discussion Papers ISBA 2017019, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    2. Evangelos E. Ioannidis, 2022. "A new non‐parametric cross‐spectrum estimator," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(5), pages 808-827, September.

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