A nonparametric regression cross spectrum for multivariate time series

Beran, Jan; Heiler, Mark A.

A nonparametric regression cross spectrum for multivariate time series

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Datum

2008

Autor:innen

Beran, Jan

Heiler, Mark A.

Publikationstyp

Zeitschriftenartikel

Publikationsstatus

Published

Erschienen in

Journal of Multivariate Analysis. 2008, 99(4), pp. 684-714. ISSN 0047-259X. eISSN 1095-7243. Available under: doi: 10.1016/j.jmva.2007.03.006

Zusammenfassung

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.

Fachgebiet (DDC)

510 Mathematik

Zitieren

ISO 690

BERAN, Jan, Mark A. HEILER, 2008. A nonparametric regression cross spectrum for multivariate time series. In: Journal of Multivariate Analysis. 2008, 99(4), pp. 684-714. ISSN 0047-259X. eISSN 1095-7243. Available under: doi: 10.1016/j.jmva.2007.03.006

BibTex

@article{Beran2008nonpa-27582,
  year={2008},
  doi={10.1016/j.jmva.2007.03.006},
  title={A nonparametric regression cross spectrum for multivariate time series},
  number={4},
  volume={99},
  issn={0047-259X},
  journal={Journal of Multivariate Analysis},
  pages={684--714},
  author={Beran, Jan and Heiler, Mark A.}
}

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