A nonparametric regression cross spectrum for multivariate time series

Jan Beran

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. -- Nonparametric trend estimation ; cross spectrum ; wavelets ; regression spectrum ; phase ; threshold estimator

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Year of publication:	2008
Authors:	Beran, Jan
Publisher:	Konstanz : CoFE
Subject:	Zeitreihenanalyse \| Time series analysis \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Schätztheorie \| Estimation theory \| Regressionsanalyse \| Regression analysis \| Multivariate Analyse \| Multivariate analysis