On the asymptotic distribution of the maximum sample spectral coherence of Gaussian time series in the high dimensional regime

Philippe Loubaton, Alexis Rosuel, Pascal Vallet. On the asymptotic distribution of the maximum sample spectral coherence of Gaussian time series in the high dimensional regime. J. Multivariate Analysis, 194:105124, 2023. [doi]

Authors

Philippe Loubaton

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Alexis Rosuel

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Pascal Vallet

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