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Center of Finance and Econometrics (CoFE), Universität Konstanz >
CoFE-Diskussionspapiere, Universität Konstanz >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/32166
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Beran, Jan | | en_US |
| dc.date.accessioned | | 2009-09-17 | | en_US |
| dc.date.accessioned | | 2010-05-14T12:00:36Z | | - |
| dc.date.available | | 2010-05-14T12:00:36Z | | - |
| dc.date.issued | | 2008 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/32166 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | CoFE Konstanz | | en_US |
| dc.relation.ispartofseries | | Discussion paper series // Zentrum für Finanzen und Ökonometrie, Universität Konstanz 2008,01 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Nonparametric trend estimation | | en_US |
| dc.subject.keyword | | cross spectrum | | en_US |
| dc.subject.keyword | | wavelets | | en_US |
| dc.subject.keyword | | regression spectrum | | en_US |
| dc.subject.keyword | | phase | | en_US |
| dc.subject.keyword | | threshold estimator | | en_US |
| dc.title | | A nonparametric regression cross spectrum for multivariate time series | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 608950947 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | CoFE-Diskussionspapiere, Universität Konstanz
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