Estimation of a nonparametric regression spectrum for multivariate time series

DOI10.1016/J.STAMET.2008.09.001zbMath1220.62038OpenAlexW2039036196MaRDI QIDQ537240

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

Related Items (1)

Adaptive spectral estimation for nonstationary multivariate time series

Uses Software

• astsa

Cites Work

• Time series: theory and methods
• A nonparametric regression cross spectrum for multivariate time series
• Estimation of the Dominating Frequency for Stationary and Nonstationary Fractional Autoregressive Models
• Adapting to Unknown Smoothness via Wavelet Shrinkage
• Some uses if cumulants in wavelet analysis
• Automatic estimation of multivariate spectra via smoothing splines
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