Xander Spruce

Exact Same Sample Block Leverage Correction for LCME Spectral Shrinkage: Heteroskedastic Gaussian Transfer and Projection Safe Spectral Estimation

We study spectral density estimation by shrinking sample autocovariances, focusing on the optimism created when a nonlinear shrinkage profile is fitted from the same squared coefficients to which it is applied. Parseval’s identity converts integrated squared spectral loss into an...