Browsing Makale Koleksiyonu by Subject "Dynamic Factor Model"
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Spectral estimation in frequency-domain by subspace techniques
(Elsevier Science BV, 2014)In this paper, frequency-domain subspace-based algorithms are proposed to estimate discrete-time cross-power spectral density (cross-PSD) and auto-power spectral density (auto-PSD) matrices from samples of the Welch cross-PSD ...