Improved estimates for multivariate complex-normal regression with application to analysis of linear time-invariant relationships

Jostein Lillestøl

Journal of Multivariate Analysis, 1977, vol. 7, issue 4, 512-524

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 (search for similar items in EconPapers)
Date: 1977
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