EconStor >
Universität Konstanz >
Center of Finance and Econometrics (CoFE), Universität Konstanz >
CoFE-Diskussionspapiere, Universität Konstanz >

Please use this identifier to cite or link to this item:

Full metadata record

DC FieldValueLanguage
dc.contributor.authorBeran, Janen_US
dc.description.abstractWe 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.publisherCoFE Konstanzen_US
dc.relation.ispartofseriesDiscussion paper series // Zentrum für Finanzen und Ökonometrie, Universität Konstanz 2008,01en_US
dc.subject.keywordNonparametric trend estimationen_US
dc.subject.keywordcross spectrumen_US
dc.subject.keywordregression spectrumen_US
dc.subject.keywordthreshold estimatoren_US
dc.titleA nonparametric regression cross spectrum for multivariate time seriesen_US
dc.typeWorking Paperen_US
Appears in Collections:CoFE-Diskussionspapiere, Universität Konstanz

Files in This Item:
File Description SizeFormat
608950947.pdf320.97 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.