16 citations · 23 across the 3 of their papers we have counts for
3 papers
math.ST2015★ 16 cited
Partial Coherence Estimation via Spectral Matrix Shrinkage under Quadratic Loss
D. Schneider-Luftman, A. T. Walden
Partial coherence is an important quantity derived from spectral or precision matrices and is used in seismology, meteorology, oceanography, neuroscience and elsewhere. If the numb…
math.ST2014★ 7 cited
Random Matrix Derived Shrinkage of Spectral Precision Matrices
A. T. Walden, D. Schneider-Luftman
Much research has been carried out on shrinkage methods for real-valued covariance matrices. In spectral analysis of -vector-valued time series there is often a need for good sh…
math.PR2013
The Martingale Representation Theorem and Clark-Ocone formula
Deborah Schneider-Luftman
In this paper we explore the fundamentals of the Martingale Representation Theorem (MRT) and a closely related result, the Clark-Ocone formula. We also investigate how far these th…