Penalized Whittle Likelihood

버전 1.0.0.0 (25 KB) 작성자: Robert Krafty
Efficient and Flexible Multivariate Spectrum Estimation.
0.0
(0)
다운로드 수: 61
업데이트 날짜: 2017/3/3

라이선스 보기

Implements the procedure introduced in the paper
Krafty, R. T. and Collinge, W. O. (2013) “Penalized Multivariate Whittle Likelihood for Power Spectrum Estimation.” Biometrika. 100: 447-458.
Computes a smoothing spline based estimator of the power spectrum from a multivariate time series, utilizing the large sample distribution of the periodogram and the Cholesky decomposition to allow for varying levels of smoothness among different components.

인용 양식

Robert Krafty (2025). Penalized Whittle Likelihood (https://kr.mathworks.com/matlabcentral/fileexchange/61876-penalized-whittle-likelihood), MATLAB Central File Exchange. 검색 날짜: .

MATLAB 릴리스 호환 정보
개발 환경: R2012b
모든 릴리스와 호환
플랫폼 호환성
Windows macOS Linux
카테고리
Help Center 및 MATLAB Answers에서 Conditional Mean Models에 대해 자세히 알아보기
태그 태그 추가

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

programs/

버전 게시됨 릴리스 정보
1.0.0.0