Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/32166
Authors: 
Beran, Jan
Year of Publication: 
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: 
Document Type: 
Working Paper

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