most citedDetecting Spectral Breaks in Spiked Covariance Models

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math.ST2025

Spectral estimation for high-dimensional linear processes

Jamshid Namdari, Alexander Aue, Debashis Paul

We propose a novel estimation procedure for certain spectral distributions associated with a class of high dimensional linear time series. The processes under consideration are of…

math.ST2024★ 1 cited

Detecting Spectral Breaks in Spiked Covariance Models

Nina Dörnemann, Debashis Paul

In this paper, the key objects of interest are the sequential covariance matrices and their largest eigenvalues. Here, the matrix is computed…