
arXiv: 2212.02584
The problem of estimating the spectral density matrix of a multi‐variate time series is revisited with special focus on the frequencies and . Recognizing that the entries of the spectral density matrix at these two boundary points are real‐valued, we propose a new estimator constructed from a local polynomial regression of the real portion of the multi‐variate periodogram. The case is of particular importance, since is associated with the large‐sample covariance matrix of the sample mean; hence, estimating is crucial to conduct any sort of statistical inference on the mean. We explore the properties of the local polynomial estimator through theory and simulations, and discuss an application to inflation and unemployment.
FOS: Computer and information sciences, Classification and discrimination; cluster analysis (statistical aspects), Linear regression; mixed models, flat-top lag-windows, kernel smoothing, Estimation in multivariate analysis, long-run variance, sample mean, Methodology (stat.ME), Time series, auto-correlation, regression, etc. in statistics (GARCH), hac covariance estimation, local polynomials, Statistics - Methodology
FOS: Computer and information sciences, Classification and discrimination; cluster analysis (statistical aspects), Linear regression; mixed models, flat-top lag-windows, kernel smoothing, Estimation in multivariate analysis, long-run variance, sample mean, Methodology (stat.ME), Time series, auto-correlation, regression, etc. in statistics (GARCH), hac covariance estimation, local polynomials, Statistics - Methodology
| selected citations These citations are derived from selected sources. This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically). | 0 | |
| popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network. | Average | |
| influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically). | Average | |
| impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network. | Average |
