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Estimation of a nonparametric regression spectrum for multivariate time series

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  • Jan Beran

    ()
    (University of Konstanz)

  • Mark A. Heiler
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    Abstract

    Estimation of a nonparametric regression spectrum based on the periodogram is considered. Neither trend estimation nor smoothing of the periodogram are required. Alternatively, for cases where spectral estimation of phase shifts fails and the shift does not depend on frequency, a time domain estimator of the lag-shift is defined. Asymptotic properties of the frequency and time domain estimators are derived. Simulations and a data example illustrate the methods.

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    File URL: http://cofe.uni-konstanz.de/Papers/dp07_12.pdf
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    Bibliographic Info

    Paper provided by Center of Finance and Econometrics, University of Konstanz in its series CoFE Discussion Paper with number 07-12.

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    Length: 31 pages
    Date of creation: 01 Dec 2007
    Date of revision:
    Handle: RePEc:knz:cofedp:0712

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    Related research

    Keywords: Periodogram; cross spectrum; regression spectrum; phase; wavelets.;

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    1. Ori Rosen & David S. Stoffer, 2007. "Automatic estimation of multivariate spectra via smoothing splines," Biometrika, Biometrika Trust, vol. 94(2), pages 335-345.
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