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A nonparametric regression cross spectrum for multivariate time series

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  • Jan Beran

    ()
    (University of Konstanz)

  • Mark A. Heiler
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    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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    Bibliographic 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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    Related research

    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, Center of Finance and Econometrics, University of Konstanz 99-08, Center of Finance and Econometrics, University of Konstanz.
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