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Comparison of the three estimators. Reported values are the integrated empirical mean-squared error (IMSE) averaged over 1500 synthetic data sets. Values in parenthesis are the standard deviation of the empirical IMSE.
| Estimator | Spectral Density Matrix | Partial Coherence |
|---|---|---|
| Smoothed Periodogram | 2.1886 (0.2126) | 19.856 ×10−4 (4.6415 ×10−4) |
| Shrinkage | 1.0797 (0.0980) | 1.6937 ×10−4 (0.5859 ×10−4) |
| Multitaper | 1.5560 (0.1527) | 9.3517 ×10−4 (2.3293 ×10−4) |
