Improved estimates for multivariate complex-normal regression with application to analysis of linear time-invariant relationships |
| |
| Authors: | J. Lillest l |
| |
| Affiliation: | 1. University of California, BerkeleyUSA;2. The Norwegian School of Economics and Business Administration, Bergen, Norway |
| |
| Abstract: | The objective of this paper is the estimation of linear time-invariant relationships for a stationary vector-valued time series using the Finite Fourier Transform as the basic statistic. Since this is asymptotically complex-Normal we are led to consider models of multivariate complex-Normal regression. We propose estimates of regression matrices in the tradition of Stein (shrunken estimates) which improve upon the usual estimates. Some experience with simulated time series is reported. |
| |
| Keywords: | Linear time-invariant relations finite Fourier transforms frequency analysis complex regression complex-normal distribution shrunken estimates Stein estimates transfer functions |
| 本文献已被 ScienceDirect 等数据库收录！ |
