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math.ST2021
Properties of linear spectral statistics of frequency-smoothed estimated spectral coherence matrix of high-dimensional Gaussian time series
Philippe Loubaton, Alexis Rosuel
The asymptotic behaviour of Linear Spectral Statistics (LSS) of the smoothed periodogram estimator of the spectral coherency matrix of a complex Gaussian high-dimensional time seri…
math.ST2021
On the asymptotic distribution of the maximum sample spectral coherence of Gaussian time series in the high dimensional regime
Alexis Rosuel, Philippe Loubaton, Pascal Vallet
We investigate the asymptotic distribution of the maximum of a frequency smoothed estimate of the spectral coherence of a M-variate complex Gaussian time series with mutually indep…