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Automatic Statistical Analysis of Bivariate Nonstationary Time Series

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  • Ombao H. C
  • Raz J. A
  • von Sachs R.
  • Malow B. A
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    Bibliographic Info

    Article provided by American Statistical Association in its journal Journal of the American Statistical Association.

    Volume (Year): 96 (2001)
    Issue (Month): (June)
    Pages: 543-560

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    Handle: RePEc:bes:jnlasa:v:96:y:2001:m:june:p:543-560

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    Cited by:
    1. Chevallier, Julien, 2011. "Wavelet packet transforms analysis applied to carbon prices," Economics Papers from University Paris Dauphine 123456789/6515, Paris Dauphine University.
    2. Andrés M. Alonso & David Casado & Sara López Pintado & Juan Romo, 2009. "A functional data based method for time series classification," Statistics and Econometrics Working Papers ws087427, Universidad Carlos III, Departamento de Estadística y Econometría.
    3. Ombao, Hernando & Ringo Ho, Moon-ho, 2006. "Time-dependent frequency domain principal components analysis of multichannel non-stationary signals," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2339-2360, May.
    4. Siem Jan Koopman & Soon Yip Wong, 2006. "Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series," Tinbergen Institute Discussion Papers 06-105/4, Tinbergen Institute.
    5. Olsen, Lena Ringstad & Chaudhuri, Probal & Godtliebsen, Fred, 2008. "Multiscale spectral analysis for detecting short and long range change points in time series," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3310-3330, March.
    6. Shumway, Robert H., 2003. "Time-frequency clustering and discriminant analysis," Statistics & Probability Letters, Elsevier, vol. 63(3), pages 307-314, July.
    7. Piotr Fryzlewicz & Sébastien Bellegem & Rainer Sachs, 2003. "Forecasting non-stationary time series by wavelet process modelling," Annals of the Institute of Statistical Mathematics, Springer, vol. 55(4), pages 737-764, December.
    8. Jean Sanderson & Piotr Fryzlewicz & M. W. Jones, 2010. "Estimating linear dependence between nonstationary time series using the locally stationary wavelet model," LSE Research Online Documents on Economics 29141, London School of Economics and Political Science, LSE Library.

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