Automatic estimation of the cross-spectrum of a bivariate time series
二元时间序列互谱的自动估计
The penalised Whittle likelihood has recently been shown to have good properties in nonparametric estimation of spectral density functions. This paper extends the approach to the estimation of the cross-spectrum of a bivariate time series. One major difference from the univariate case is that the cross-spectrum estimate is not constrained to be positive, but must result in a positive definite spectral density matrix. An efficient computational method based on iterative…