Statistics / Time Series / Kernel Smoothing / Higher Order Thinking / Mean square error / Multivariate Time Series / Sample Size / Eigenvalues / Simulation Study / Five Factor Model / High Dimensionality / Spectral Estimation / Parametric Estimation / Spectral Density / Time Domain / Condition number / Frequency Domain / Multivariate Time Series / Sample Size / Eigenvalues / Simulation Study / Five Factor Model / High Dimensionality / Spectral Estimation / Parametric Estimation / Spectral Density / Time Domain / Condition number / Frequency Domain