Journal article:
A nonparametric regression cross spectrum for multivariate time series

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Date
2008
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Heiler, Mark A.
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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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510 Mathematics
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Journal of Multivariate Analysis ; 99 (2008), 4. - pp. 684-714. - ISSN 0047-259X. - eISSN 1095-7243
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ISO 690BERAN, Jan, Mark A. HEILER, 2008. A nonparametric regression cross spectrum for multivariate time series. In: Journal of Multivariate Analysis. 99(4), pp. 684-714. ISSN 0047-259X. eISSN 1095-7243. Available under: doi: 10.1016/j.jmva.2007.03.006
BibTex
@article{Beran2008nonpa-27582,
  year={2008},
  doi={10.1016/j.jmva.2007.03.006},
  title={A nonparametric regression cross spectrum for multivariate time series},
  number={4},
  volume={99},
  issn={0047-259X},
  journal={Journal of Multivariate Analysis},
  pages={684--714},
  author={Beran, Jan and Heiler, Mark A.}
}
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