Inference for Sparse Spectral Precision Matrices with cxreg1 days ago
Introduction | Background | Spectral density and the DFT | The CGLASSO and deCGLASSO estimators | Step 1 — Generate a multivariate white noise process | Step 2 — Bandwidth selection via GCV | Step 3 — Compute the DFT and smoothed periodogram | Step 4 — Fit CGLASSO and compute the deCGLASSO estimator | Step 5 — Estimate the asymptotic variance | Step 6 — Entry-wise tests and confidence regions | Step 7 — FDR-controlled support recovery | Summary of functions | References
