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http://hdl.handle.net/10419/32166
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| Title: | | A nonparametric regression cross spectrum for multivariate time series  |
| Authors: | | Beran, Jan |
| Issue Date: | | 2008 |
| Series/Report no.: | | Discussion paper series // Zentrum für Finanzen und Ökonometrie, Universität Konstanz 2008,01 |
| 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. |
| Subjects: | | Nonparametric trend estimation cross spectrum wavelets regression spectrum phase threshold estimator |
| Document Type: | | Working Paper |
| Appears in Collections: | | CoFE-Diskussionspapiere, Universität Konstanz
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