Automatic Statistical Analysis of Bivariate Non-Stationary Time Series
AbstractWe propose a new method, the "Auto-SLEX" method, for analyzing bivariate non-stationary processes. The Auto-SLEX method is a procedure that automatically segments the time series into approximatively stationary blocks and automatically estimates the time-varying spectra and coherence.
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Bibliographic InfoPaper provided by Catholique de Louvain - Institut de statistique in its series Papers with number 9908.
Length: 31 pages
Date of creation: 1999
Date of revision:
Contact details of provider:
Postal: Universite Catholique de Louvain, Institut de Statistique, Voie du Roman Pays, 34 B-1348 Louvain- La-Neuve, Belgique.
STATISTICAL ANALYSIS ; TIME SERIES ; ECONOMETRICS;
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