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A spectral construction of the extremal t process
elliptical distribution extremalt process max-stable process spectral construction
2012/9/19
The extremaltprocess was proposed in the literature for modelling spatial extremes within a copula framework based on the extreme value limit of ellipticalt distribu-tions (Davison, Padoan and Ribatet...
Distances and Riemannian metrics for multivariate spectral densities
multivariate spectral densities Riemannian metrics
2011/7/19
We first introduce a class of divergence measures between power spectral density matrices. These are derived by comparing the suitability of different models in the context of optimal prediction.
Structural shrinkage of nonparametric spectral estimators for multivariate time series
structural shrinkage nonparametric spectral estimators multivariate time series
2009/9/16
In this paper we investigate the performance of periodogram based estimators of the spectral density matrix of possibly high-dimensional time series. We suggest and study shrinkage as a remedy against...
Separating populations with wide data: A spectral analysis
mixture of product distributions clustering small sample spectral analysis
2009/9/16
In this paper, we consider the problem of partitioning a small data sample drawn from a mixture of $k$ product distributions. We are interested in the case that individual features are of low average ...