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Penalized Whittle Likelihood

version (25 KB) by Robert Krafty
Efficient and Flexible Multivariate Spectrum Estimation.

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Updated 03 Mar 2017

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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.

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MATLAB Release Compatibility
Created with R2012b
Compatible with any release
Platform Compatibility
Windows macOS Linux
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