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math.ST2025
Spectral estimation for high-dimensional linear processes
Jamshid Namdari, Alexander Aue, Debashis Paul
We develop a random-matrix-based framework for estimating the latent joint spectral distribution of the coefficient matrices and innovation covariance of a class of high-dimensiona…
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…