Arbeitspapier
A nonparametric regression cross spectrum for multivariate time series
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: CoFE Discussion Paper ; No. 08/01
- Klassifikation
-
Wirtschaft
- Thema
-
Nonparametric trend estimation
cross spectrum
wavelets
regression spectrum
phase
threshold estimator
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Beran, Jan
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Konstanz, Center of Finance and Econometrics (CoFE)
- (wo)
-
Konstanz
- (wann)
-
2008
- Handle
- URN
-
urn:nbn:de:bsz:352-opus-116724
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Beran, Jan
- University of Konstanz, Center of Finance and Econometrics (CoFE)
Entstanden
- 2008
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