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Title:A nonparametric regression cross spectrum for multivariate time series PDF Logo
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
Persistent Identifier of the first edition:urn:nbn:de:bsz:352-opus-116724
Document Type:Working Paper
Appears in Collections:CoFE-Diskussionspapiere, Universität Konstanz

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