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Journal of Time Series Analysis
Article . 2024 . Peer-reviewed
License: Wiley Online Library User Agreement
Data sources: Crossref
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zbMATH Open
Article . 2025
Data sources: zbMATH Open
https://dx.doi.org/10.48550/ar...
Article . 2022
License: CC BY
Data sources: Datacite
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Local quadratic spectral and covariance matrix estimation

Authors: Tucker McElroy; Dimitris N. Politis;

Local quadratic spectral and covariance matrix estimation

Abstract

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.

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Keywords

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

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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).
BIP!Citations provided by BIP!
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.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
Average
Average
Average
Green
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