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A nonparametric regression cross spectrum for multivariate time series

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Author Info
Jan Beran () (University of Konstanz)
Mark A. Heiler
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.

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File URL: http://cofe.uni-konstanz.de/Papers/dp08_01.pdf
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Publisher Info
Paper provided by Center of Finance and Econometrics, University of Konstanz in its series CoFE Discussion Paper with number 08-01.

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Length: 42 pages
Date of creation: 01 Jan 2008
Date of revision:
Handle: RePEc:knz:cofedp:0801

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Keywords: Nonparametric trend estimation; cross spectrum; wavelets; regression spectrum; phase; threshold estimator;

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  1. Jan Beran & Yuanhua Feng, 1999. "Local Polynomial Estimation with a FARIMA-GARCH Error Process," CoFE Discussion Paper 99-08, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
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This page was last updated on 2009-11-26.

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