Different estimators of the spectral matrix: an empirical comparison testing a new shrinkage estimator

作者：Farne Matteo^*; Montanari Angela

来源：Communications in Statistics - Theory and Methods, 2016, 45(2): 354-364.

DOI：10.1080/03610926.2013.809117

• Multivariate spectrum
• Smoothed periodogram
• Shrinkage estimator
• Multivariate time series

In this paper we propose a new non parametric estimator of the spectral matrix of a multivariate stationary stochastic process, with the main goal to locally improve the deficiencies of the smoothed periodogram in terms of mean square error of the estimates. Our estimator is based on a convex linear combination of the frequency averaged periodogram and an estimate of the true mean spectral matrix across frequencies. In a wide simulation study we show that our estimator turns out to be able to markedly improve the frequency averaged periodogram especially at central frequencies.

• 出版日期2016