Estimation of a nonparametric regression spectrum for multivariate time series

DOI10.1016/J.STAMET.2008.09.001MaRDI QIDQ537240zbMATH OpenOpenAlexFDO

Authors M. Heiler, Jan Beran

Publication date 19 May 2011

Published in Statistical Methodology (Search for Journal in Brave)

Full work available at URL http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-116674

zbMATH Keywords

waveletsphaseperiodogramcross-spectrum

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• scientific article; zbMATH DE number 194951 (Why is no real title available?)
• scientific article; zbMATH DE number 1447423 (Why is no real title available?)
• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
• A nonparametric regression cross spectrum for multivariate time series
• Adapting to Unknown Smoothness via Wavelet Shrinkage
• Automatic estimation of multivariate spectra via smoothing splines
• Estimation of the dominating frequency for stationary and nonstationary fractional autoregressive models
• Some uses if cumulants in wavelet analysis
• Time series: theory and methods

Cited in

(7)

• Band Spectral Regression with Trending Data
• Adaptive spectral estimation for nonstationary multivariate time series
• Nonparametric frequency domain analysis of nonstationary multivariate time series
• A nonparametric regression cross spectrum for multivariate time series
• scientific article; zbMATH DE number 1995725 (Why is no real title available?)
• Penalized multivariate Whittle likelihood for power spectrum estimation
• Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models

Describes a project that uses

Uses Software

• astsa

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