Estimation of a nonparametric regression spectrum for multivariate time series
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References listed on IDEAS
- Ori Rosen & David S. Stoffer, 2007. "Automatic estimation of multivariate spectra via smoothing splines," Biometrika, Biometrika Trust, vol. 94(2), pages 335-345.
- Jan Beran & Sucharita Ghosh, 2000. "Estimation of the Dominating Frequency for Stationary and Nonstationary Fractional Autoregressive Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 21(5), pages 517-533, September.
- Iain M. Johnstone & Bernard W. Silverman, 1997. "Wavelet Threshold Estimators for Data with Correlated Noise," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 59(2), pages 319-351.
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Keywords
Periodogram; cross spectrum; regression spectrum; phase; wavelets;All these keywords.
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