Publikation:

A nonparametric regression cross spectrum for multivariate time series

Vorschaubild

Dateien

cofe_dp08_01.pdf
cofe_dp08_01.pdfGröße: 334.12 KBDownloads: 298

Datum

2008

Autor:innen

Heiler, Mark A.

Herausgeber:innen

Kontakt

ISSN der Zeitschrift

Electronic ISSN

ISBN

Bibliografische Daten

Verlag

Schriftenreihe

Auflagebezeichnung

URI (zitierfähiger Link)
http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-116724
DOI (zitierfähiger Link)
ArXiv-ID

Internationale Patentnummer

Link zur Lizenz
Attribution-NonCommercial-NoDerivs 2.0 Generic

Angaben zur Forschungsförderung

Projekt

Open Access-Veröffentlichung
Open Access Green

Sammlungen

Mathematik und Statistik: Publikationen
Core Facility der Universität Konstanz

Gesperrt bis

Titel in einer weiteren Sprache

Publikationstyp
Working Paper/Technical Report
Publikationsstatus
Published

Erschienen in

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.

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
330 Wirtschaft

Schlagwörter

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

Konferenz

Rezension
undefined / . - undefined, undefined

Forschungsvorhaben

Organisationseinheiten

Zeitschriftenheft

Verknüpfte Datensätze

Zitieren

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}
}
RDF
<rdf:RDF
    xmlns:dcterms="http://purl.org/dc/terms/"
    xmlns:dc="http://purl.org/dc/elements/1.1/"
    xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
    xmlns:bibo="http://purl.org/ontology/bibo/"
    xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
    xmlns:foaf="http://xmlns.com/foaf/0.1/"
    xmlns:void="http://rdfs.org/ns/void#"
    xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > 
  <rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/507">
    <dspace:hasBitstream rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/507/1/cofe_dp08_01.pdf"/>
    <dc:format>application/pdf</dc:format>
    <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-22T17:44:49Z</dc:date>
    <foaf:homepage rdf:resource="http://localhost:8080/"/>
    <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
    <dc:rights>Attribution-NonCommercial-NoDerivs 2.0 Generic</dc:rights>
    <dcterms:abstract xml:lang="eng">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.</dcterms:abstract>
    <dcterms:hasPart rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/507/1/cofe_dp08_01.pdf"/>
    <dcterms:rights rdf:resource="http://creativecommons.org/licenses/by-nc-nd/2.0/"/>
    <dc:contributor>Heiler, Mark A.</dc:contributor>
    <dc:creator>Beran, Jan</dc:creator>
    <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-22T17:44:49Z</dcterms:available>
    <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
    <dc:creator>Heiler, Mark A.</dc:creator>
    <dc:contributor>Beran, Jan</dc:contributor>
    <dc:language>eng</dc:language>
    <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/507"/>
    <dcterms:title>A nonparametric regression cross spectrum for multivariate time series</dcterms:title>
    <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
    <dcterms:issued>2008</dcterms:issued>
  </rdf:Description>
</rdf:RDF>

Interner Vermerk

xmlui.Submission.submit.DescribeStep.inputForms.label.kops_note_fromSubmitter

Kontakt
URL der Originalveröffentl.

Prüfdatum der URL

Prüfungsdatum der Dissertation

Finanzierungsart

Kommentar zur Publikation

Also publ. in: Journal of Multivariate Analysis ; 99 (2008), 4. - S. 684-714
Allianzlizenz
Corresponding Authors der Uni Konstanz vorhanden
Internationale Co-Autor:innen
Universitätsbibliographie
Ja
Begutachtet
Diese Publikation teilen