Time‐Dependent Dual‐Frequency Coherence in Multivariate Non‐Stationary Time Series

DOI10.1111/jtsa.12408zbMath1434.62187OpenAlexW1742329859MaRDI QIDQ3120657

Hernando Ombao, Rainer von Sachs, Cristina Gorrostieta

Publication date: 5 March 2019

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12408

zbMATH Keywords

Fourier transformspectral analysismultivariate time seriesharmonizable processescross-coherencedual frequency coherenceevolutionary coherenceLoéve spectrum

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15) General second-order stochastic processes (60G12)

Related Items (3)

Spectral Density Estimation for Nonstationary Data With Nonzero Mean Function ⋮ Spectrum inference for replicated spatial locally time-harmonizable time series ⋮ Graphical models for nonstationary time series

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