Abstract
The objective of this paper is the estimation of linear time-invariant relationships for a stationary vector-valued time series using the Finite Fourier Transform as the basic statistic. Since this is asymptotically complex-Normal we are led to consider models of multivariate complex-Normal regression. We propose estimates of regression matrices in the tradition of Stein (shrunken estimates) which improve upon the usual estimates. Some experience with simulated time series is reported.
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