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dc.contributor.authorBeran, Janen
dc.date.accessioned2009-09-17-
dc.date.accessioned2010-05-14T12:00:36Z-
dc.date.available2010-05-14T12:00:36Z-
dc.date.issued2008-
dc.identifier.piurn:nbn:de:bsz:352-opus-116724en
dc.identifier.urihttp://hdl.handle.net/10419/32166-
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
dc.language.isoengen
dc.publisher|aUniversity of Konstanz, Center of Finance and Econometrics (CoFE) |cKonstanzen
dc.relation.ispartofseries|aCoFE Discussion Paper |x08/01en
dc.subject.ddc330en
dc.subject.keywordNonparametric trend estimationen
dc.subject.keywordcross spectrumen
dc.subject.keywordwaveletsen
dc.subject.keywordregression spectrumen
dc.subject.keywordphaseen
dc.subject.keywordthreshold estimatoren
dc.titleA nonparametric regression cross spectrum for multivariate time series-
dc.type|aWorking Paperen
dc.identifier.ppn608950947en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cofedp:0801-

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