This respiratory contains the source code for the package HDSpectralAnalysis as well as the code to reproduce the numerical parts of the paper 'Frequency Domain Statistical Inference for High-Dimensional Time Series'
# Install devtools from CRAN
install.packages("devtools")
# Install HDSpectralAnalysis
library(devtools)
install_github("JKrampe/HDSpectralAnalysis")See the additional readme file in the folder Repro.