A nonparametric regression cross spectrum for multivariate time series

Jan Beran and Mark A. Heiler

Journal of Multivariate Analysis, 2008, vol. 99, issue 4, 684-714

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)
Date: 2008
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