A nonparametric regression cross spectrum for multivariate time series

DOI10.1016/J.JMVA.2007.03.006MaRDI QIDQ2482624zbMATH OpenOpenAlexFDO

Authors Jan Beran, M. Heiler

Publication date 23 April 2008

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-116724

zbMATH Keywords

cross spectrumnonparametric trend estimationphaseregression spectrumthreshold estimatorwavelets

Mathematics Subject Classification ID

Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Functional limit theorems; invariance principles (60F17) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

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Cited in

(5)

• Nonparametric frequency domain analysis of nonstationary multivariate time series
• Adaptive spectral estimation for nonstationary multivariate time series
• Time-dependent dual-frequency coherence in multivariate non-stationary time series
• Time series in M dimensions: The power spectrum
• Estimation of a nonparametric regression spectrum for multivariate time series

Describes a project that uses

Uses Software

• wmtsa
• PhysioToolkit

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