'UNALSE_final.m' carries out UNALSE computational routine, introduced in the paper 'An algebraic estimator for large spectral density matrices' by Barigozzi, M. and Farnè, M. (2021). 'spectral_x.m' calculates the classical smoothed periodogram. The dataset 'DATA_US_BL.mat' gathers 101 quarterly macroeconomic indicators regarding the US economy over T = 210 time points spanning the period 1960:Q2-2012:Q3.
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Generate low rank plus sparse spectral density matrices.
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