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math.ST2025
Statistical inference for high-dimensional spectral density matrix
Jinyuan Chang, Qing Jiang, Tucker S. McElroy +1
The spectral density matrix is a fundamental object of interest in time series analysis, and it encodes both contemporary and dynamic linear relationships between component process…
math.ST2024
Polyspectral Mean Estimation of General Nonlinear Processes
Dhrubajyoti Ghosh, Tucker McElroy, Soumendra Lahiri
Higher-order spectra (or polyspectra), defined as the Fourier Transform of a stationary process' autocumulants, are useful in the analysis of nonlinear and non Gaussian processes.…