An Algebraic Estimator for Large Spectral Density Matrices
高维谱密度矩阵的代数估计量
We propose a new estimator of high-dimensional spectral density matrices, called UNshrunk ALgebraic Spectral Estimator (UNALSE), under the assumption of an underlying low rank plus sparse structure, as typically assumed in dynamic factor models. The UNALSE is computed by minimizing a quadratic loss under a nuclear norm plus $l_1$ norm constraint to control the latent rank and the residual sparsity pattern. The loss function requires as input the classical smoothed…