51 citations · 82 across the 7 of their papers we have counts for
3 papers · 1 filter
Lag selection and estimation of stable parameters for multiple autoregressive processes through convex programming
Somnath Chakraborty, Johannes Lederer, Rainer von Sachs
Motivated by a variety of applications, high-dimensional time series have become an active topic of research. In particular, several methods and finite-sample theories for individu…
Locally adaptive estimation of evolutionary wavelet spectra
Sébastien Van Bellegem, Rainer von Sachs
We introduce a wavelet-based model of local stationarity. This model enlarges the class of locally stationary wavelet processes and contains processes whose spectral density functi…
Structural shrinkage of nonparametric spectral estimators for multivariate time series
Hilmar Böhm, Rainer von Sachs
In this paper we investigate the performance of periodogram based estimators of the spectral density matrix of possibly high-dimensional time series. We suggest and study shrinkage…