Nonparametric frequency domain analysis of nonstationary multivariate time series

Carlos Velasco

doi:10.1016/s0378-3758(02)00235-5

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Nonparametric frequency domain analysis of nonstationary multivariate time series

Carlos Velasco

Year: 2002 Journal: Journal of Statistical Planning and Inference Vol: 116 (1)Pages: 209-247 Publisher: Elsevier BV

DOI: 10.1016/s0378-3758(02)00235-5

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Keywords:

Mathematics Series (stratigraphy) Nonparametric statistics Residual Frequency domain Asymptotic distribution Multivariate statistics Statistics Spectral density estimation Cointegration Cross-spectrum Time series Inference Polynomial Applied mathematics Algorithm Fourier transform Mathematical analysis Estimator

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Financial Risk and Volatility Modeling

Social Sciences → Economics, Econometrics and Finance → Finance

Complex Systems and Time Series Analysis

Social Sciences → Economics, Econometrics and Finance → Economics and Econometrics

Climate variability and models

Physical Sciences → Environmental Science → Global and Planetary Change

Nonparametric frequency domain analysis of nonstationary multivariate time series

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