Arbeitspapier
Estimation of a nonparametric regression spectrum for multivariate time series
Estimation of a nonparametric regression spectrum based on the periodogram is considered. Neither trend estimation nor smoothing of the periodogram are required. Alternatively, for cases where spectral estimation of phase shifts fails and the shift does not depend on frequency, a time domain estimator of the lag-shift is defined. Asymptotic properties of the frequency and time domain estimators are derived. Simulations and a data example illustrate the methods.
- Sprache
-
Englisch
- Erschienen in
-
Series: CoFE Discussion Paper ; No. 07/12
- Klassifikation
-
Wirtschaft
- Thema
-
Periodogram
cross spectrum
regression spectrum
phase
wavelets
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Beran, Jan
Heiler, Mark A.
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Konstanz, Center of Finance and Econometrics (CoFE)
- (wo)
-
Konstanz
- (wann)
-
2007
- Handle
- URN
-
urn:nbn:de:bsz:352-opus-116674
- Letzte Aktualisierung
-
10.03.2025, 11:44 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
- Heiler, Mark A.
- University of Konstanz, Center of Finance and Econometrics (CoFE)
Entstanden
- 2007
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