Multivariate spectral analysis using Cholesky decomposition
利用 Cholesky 分解进行多元谱分析
We propose to smooth the Cholesky decomposition of a raw estimate of a multivariate spectrum, allowing different degrees of smoothness for different elements. The final spectral estimate is reconstructed from the smoothed Cholesky elements, and is consistent and positive definite. More importantly, the Cholesky decomposition matrix of the spectrum can be used as a transfer function in generating time series whose spectrum is identical to the given spectrum at the Fourier…