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Article
Spectral Density Shrinkage for High-dimensional Time Series
Electronic Journal of Statistics (2014)
  • Mark Fiecas, University of California - San Diego
  • Rainer von Sachs, Universite catholique de Louvain
Abstract
Time series data obtained from neurophysiological signals is often high-dimensional and the length of the time series is often short relative to the number of dimensions. Thus, it is difficult or sometimes impossible to compute statistics that are based on the spectral density matrix because these matrices are numerically unstable. In this work, we discuss the importance of regularization for spectral analysis of high-dimensional time series and propose shrinkage estimation for estimating high-dimensional spectral density matrices. The shrinkage estimator is derived from a penalized log-likelihood, and the optimal penalty parameter has a closed-form solution, which can be estimated using the bootstrap. We developed the multivariate Time-frequency Toggle (TFT) bootstrap procedure for multivariate time series, and showed that it is theoretically valid. We show via simulations and an fMRI data set that failure to regularize the estimates of the spectral density matrix can yield unstable statistics, and that this can be alleviated by shrinkage estimation.
Publication Date
2014
Citation Information
Fiecas, M., & von Sachs, R. (2014). Data-driven shrinkage of the spectral density matrix of a high-dimensional time series. Electronic Journal of Statistics, 8(2), 2975-3003.