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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. In: Electronic Journal of Statistics, Vol. 8, p. 2975-3003 (2014)
Permanent URL http://hdl.handle.net/2078.1/154446