A nonparametric regression cross spectrum for multivariate time series

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2008
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Heiler, Mark A.
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CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie; 2008/01
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Abstract
We consider dependence structures in multivariate time series that are characterized by deterministic trends. Results from spectral analysis for stationary processes are extended to deterministic trend functions. A regression cross covariance and spectrum are defined. Estimation of these quantities is based on wavelet thresholding. The method is illustrated by a simulated example and a three-dimensional time series consisting of ECG, blood pressure and cardiac stroke volume measurements.
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330 Economics
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Nonparametric trend estimation,cross spectrum,wavelets,regression spectrum,phase,threshold estimator
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ISO 690BERAN, Jan, Mark A. HEILER, 2008. A nonparametric regression cross spectrum for multivariate time series
BibTex
@techreport{Beran2008nonpa-507,
  year={2008},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={A nonparametric regression cross spectrum for multivariate time series},
  number={2008/01},
  author={Beran, Jan and Heiler, Mark A.},
  note={Also publ. in: Journal of Multivariate Analysis ; 99 (2008), 4. - S. 684-714}
}
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Also publ. in: Journal of Multivariate Analysis ; 99 (2008), 4. - S. 684-714
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