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https://hdl.handle.net/10419/32166
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Beran, Jan | en |
dc.date.accessioned | 2009-09-17 | - |
dc.date.accessioned | 2010-05-14T12:00:36Z | - |
dc.date.available | 2010-05-14T12:00:36Z | - |
dc.date.issued | 2008 | - |
dc.identifier.pi | urn:nbn:de:bsz:352-opus-116724 | en |
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 |
dc.language.iso | eng | en |
dc.publisher | |aUniversity of Konstanz, Center of Finance and Econometrics (CoFE) |cKonstanz | en |
dc.relation.ispartofseries | |aCoFE Discussion Paper |x08/01 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Nonparametric trend estimation | en |
dc.subject.keyword | cross spectrum | en |
dc.subject.keyword | wavelets | en |
dc.subject.keyword | regression spectrum | en |
dc.subject.keyword | phase | en |
dc.subject.keyword | threshold estimator | en |
dc.title | A nonparametric regression cross spectrum for multivariate time series | - |
dc.type | |aWorking Paper | en |
dc.identifier.ppn | 608950947 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:cofedp:0801 | - |
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