A nonparametric regression cross spectrum for multivariate time series

Jan Beran () and Mark A. Heiler
Additional contact information
Jan Beran: University of Konstanz

No 08-01, CoFE Discussion Paper from Center of Finance and Econometrics, University of Konstanz

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.

Keywords: Nonparametric trend estimation; cross spectrum; wavelets; regression spectrum; phase; threshold estimator (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
Date: 2008-01-01
View list of references

Downloads: (external link)
http://cofe.uni-konstanz.de/Papers/dp08_01.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:knz:cofedp:0801

Ordering information: This working paper can be ordered from
http://cofe.uni-konstanz.de

Access Statistics for this paper

More papers in CoFE Discussion Paper from Center of Finance and Econometrics, University of Konstanz
Contact information at EDIRC.
Series data maintained by Ingmar Nolte ().