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

Author

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  • Gorrostieta, Cristina
  • Ombao, Hernando
  • von Sachs, Rainer

Abstract

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Suggested Citation

  • Gorrostieta, Cristina & Ombao, Hernando & von Sachs, Rainer, 2019. "Time-Dependent Dual-Frequency Coherence in Multivariate Non-Stationary Time Series," LIDAM Reprints ISBA 2019011, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvar:2019011
    Note: In : Journal of Time Series Analysis, vol. 40, p. 3-22 (2019)
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    Cited by:

    1. Shobande Olatunji Abdul & Shodipe Oladimeji Tomiwa, 2020. "Re-Evaluation of World Population Figures: Politics and Forecasting Mechanics," Economics and Business, Sciendo, vol. 34(1), pages 104-125, February.
    2. Hu, Lechuan & Guindani, Michele & Fortin, Norbert J. & Ombao, Hernando, 2020. "A hierarchical bayesian model for differential connectivity in multi-trial brain signals," Econometrics and Statistics, Elsevier, vol. 15(C), pages 117-135.
    3. Rajae Azrak & Guy Mélard, 2022. "Autoregressive Models with Time-Dependent Coefficients—A Comparison between Several Approaches," Stats, MDPI, vol. 5(3), pages 1-21, August.
    4. Fontaine, Charles & Frostig, Ron D. & Ombao, Hernando, 2020. "Modeling non-linear spectral domain dependence using copulas with applications to rat local field potentials," Econometrics and Statistics, Elsevier, vol. 15(C), pages 85-103.
    5. von Sachs, Rainer, 2019. "Spectral Analysis of Multivariate Time Series," LIDAM Discussion Papers ISBA 2019008, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    6. Wadud, Sania & Gronwald, Marc & Durand, Robert B. & Lee, Seungho, 2023. "Co-movement between commodity and equity markets revisited—An application of the Thick Pen method," International Review of Financial Analysis, Elsevier, vol. 87(C).

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