• Medientyp: Bericht; E-Book
  • Titel: A nonparametric regression cross spectrum for multivariate time series
  • Beteiligte: Beran, Jan [VerfasserIn]
  • Erschienen: Konstanz: University of Konstanz, Center of Finance and Econometrics (CoFE), 2008
  • Sprache: Englisch
  • Schlagwörter: phase ; cross spectrum ; regression spectrum ; wavelets ; Nonparametric trend estimation ; threshold estimator
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  • Beschreibung: 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.
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