Estimation of a nonparametric regression spectrum for multivariate time series

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2009
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Heiler, Mark A.
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Statistical Methodology. 2009, 6(2), pp. 202-222. ISSN 1572-3127. Available under: doi: 10.1016/j.stamet.2008.09.001
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Estimation of a nonparametric regression spectrum based on the periodogram is considered. Neither trend estimation nor smoothing of the periodogram is required. Alternatively, for cases where spectral estimation of phase shifts fails and the shift does not depend on frequency, a time domain estimator of the lag-shift is defined. Asymptotic properties of the frequency and time domain estimators are derived. Simulations and a data example illustrate the methods.

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ISO 690BERAN, Jan, Mark A. HEILER, 2009. Estimation of a nonparametric regression spectrum for multivariate time series. In: Statistical Methodology. 2009, 6(2), pp. 202-222. ISSN 1572-3127. Available under: doi: 10.1016/j.stamet.2008.09.001
BibTex
@article{Beran2009Estim-27583,
  year={2009},
  doi={10.1016/j.stamet.2008.09.001},
  title={Estimation of a nonparametric regression spectrum for multivariate time series},
  number={2},
  volume={6},
  issn={1572-3127},
  journal={Statistical Methodology},
  pages={202--222},
  author={Beran, Jan and Heiler, Mark A.}
}
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