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