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Data-driven Shrinkage of the Spectral Density Matrix of a High-dimensional Time Series

Bibliographic reference Fiecas, Mark ; von Sachs, Rainer. Data-driven Shrinkage of the Spectral Density Matrix of a High-dimensional Time Series. ISBA Discussion Paper ; 2013/44 (2013) 28 pages
Permanent URL http://hdl.handle.net/2078.1/135715