A nonparametric regression cross spectrum for multivariate time series

Beran, Jan; Heiler, Mark A.

A nonparametric regression cross spectrum for multivariate time series

Datum

2008

Autor:innen

Beran, Jan

Heiler, Mark A.

Open Access-Veröffentlichung

Open Access Green

Sammlungen

Mathematik und Statistik

Publikationstyp

Working Paper/Technical Report

Publikationsstatus

Published

Zusammenfassung

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.

Fachgebiet (DDC)

330 Wirtschaft

Schlagwörter

Nonparametric trend estimation, cross spectrum, wavelets, regression spectrum, phase, threshold estimator

Zitieren

ISO 690

BERAN, 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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Kommentar zur Publikation

Also publ. in: Journal of Multivariate Analysis ; 99 (2008), 4. - S. 684-714

Universitätsbibliographie

Ja