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Spectral Analysis of Multivariate Time Series

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  • von Sachs, Rainer
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  • 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).
    • Handle: RePEc:aiz:louvad:2019008
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    References listed on IDEAS

    as
    1. 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).
    2. Ledoit, Olivier & Wolf, Michael, 2004. "A well-conditioned estimator for large-dimensional covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 88(2), pages 365-411, February.
    3. Dahlhaus, Rainer & Neumann, Michael H., 2001. "Locally adaptive fitting of semiparametric models to nonstationary time series," Stochastic Processes and their Applications, Elsevier, vol. 91(2), pages 277-308, February.
    4. G. P. Nason & R. Von Sachs & G. Kroisandt, 2000. "Wavelet processes and adaptive estimation of the evolutionary wavelet spectrum," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(2), pages 271-292.
    5. Stefan Birr & Stanislav Volgushev & Tobias Kley & Holger Dette & Marc Hallin, 2017. "Quantile spectral analysis for locally stationary time series," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(5), pages 1619-1643, November.
    6. Michael H. Neumann, 1996. "Spectral Density Estimation Via Nonlinear Wavelet Methods For Stationary Non‐Gaussian Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 17(6), pages 601-633, November.
    7. Fryzlewicz, Piotr & Nason, Guy P. & von Sachs, Rainer, 2008. "A wavelet-Fisz approach to spectrum estimation," LSE Research Online Documents on Economics 25186, London School of Economics and Political Science, LSE Library.
    8. Chau, Van Vinh & von Sachs, Rainer, 2018. "Intrinsic wavelet regression for surfaces of Hermitian positive definite matrices," LIDAM Discussion Papers ISBA 2018025, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    9. Roueff, François & von Sachs, Rainer & Sansonnet, Laure, 2016. "Locally stationary Hawkes processes," Stochastic Processes and their Applications, Elsevier, vol. 126(6), pages 1710-1743.
    10. Davis, Richard A. & Lee, Thomas C.M. & Rodriguez-Yam, Gabriel A., 2006. "Structural Break Estimation for Nonstationary Time Series Models," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 223-239, March.
    11. Rosen, Ori & Stoffer, David S. & Wood, Sally, 2009. "Local Spectral Analysis via a Bayesian Mixture of Smoothing Splines," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 249-262.
    12. Hernando Ombao & Jonathan Raz & Rainer von Sachs & Wensheng Guo, 2002. "The SLEX Model of a Non-Stationary Random Process," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 54(1), pages 171-200, March.
    13. Sanderson, Jean & Fryzlewicz, Piotr & Jones, M. W., 2010. "Estimating linear dependence between nonstationary time series using the locally stationary wavelet model," LSE Research Online Documents on Economics 29141, London School of Economics and Political Science, LSE Library.
    14. Ori Rosen & David S. Stoffer, 2007. "Automatic estimation of multivariate spectra via smoothing splines," Biometrika, Biometrika Trust, vol. 94(2), pages 335-345.
    15. Ombao, Hernando & von Sachs, Rainer & Guo, Wensheng, 2005. "SLEX Analysis of Multivariate Nonstationary Time Series," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 519-531, June.
    16. Robert T. Krafty & Shuangyan Xiong & David S. Stoffer & Daniel J. Buysse & Martica Hall, 2012. "Enveloping spectral surfaces: covariate dependent spectral analysis of categorical time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 33(5), pages 797-806, September.
    17. Chau, Van Vinh & von Sachs, Rainer, 2016. "Functional mixed effects wavelet estimation for spectra of replicated time series," LIDAM Discussion Papers ISBA 2016013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    18. Suhasini Subba Rao, 2018. "Orthogonal Samples for Estimators in Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(3), pages 313-337, May.
    19. Bohm, Hilmar & Ombao, Hernando & von Sachs, Rainer & Sanes, J., 2010. "Classification of multivariate non-stationary signals : the SLEX-shrinkage approach," LIDAM Reprints ISBA 2010036, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    20. Ming Dai, 2004. "Multivariate spectral analysis using Cholesky decomposition," Biometrika, Biometrika Trust, vol. 91(3), pages 629-643, September.
    21. Cristina Gorrostieta & Hernando Ombao & Rainer Von Sachs, 2019. "Time‐Dependent Dual‐Frequency Coherence in Multivariate Non‐Stationary Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 40(1), pages 3-22, January.
    22. Freyermuth, Jean-Marc & Ombao, Hernando & von Sachs, Rainer, 2010. "Tree-Structured Wavelet Estimation in a Mixed Effects Model for Spectra of Replicated Time Series," Journal of the American Statistical Association, American Statistical Association, vol. 105(490), pages 634-646.
    23. Mark Fiecas & Hernando Ombao, 2016. "Modeling the Evolution of Dynamic Brain Processes During an Associative Learning Experiment," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 111(516), pages 1440-1453, October.
    24. Freyermuth, Jean-Marc & Ombao, Hernando & von Sachs, Rainer, 2010. "Tree-structured wavelet estimation in a mixed effects model for Spectra of replicated time series," LIDAM Reprints ISBA 2010020, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    25. Chau, Van Vinh & von Sachs, Rainer, 2016. "Functional mixed effects wavelet estimation for spectra of replicated time series," LIDAM Reprints ISBA 2016025, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    26. Ombao H. C & Raz J. A & von Sachs R. & Malow B. A, 2001. "Automatic Statistical Analysis of Bivariate Nonstationary Time Series," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 543-560, June.
    27. Piotr Fryzlewicz & Guy P. Nason & Rainer Von Sachs, 2008. "A wavelet‐Fisz approach to spectrum estimation," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(5), pages 868-880, September.
    28. Hsiao-Yun Huang & Hernando Ombao & David S. Stoffer, 2004. "Discrimination and Classification of Nonstationary Time Series Using the SLEX Model," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 763-774, January.
    29. Siegfried Hörmann & Łukasz Kidziński & Marc Hallin, 2015. "Dynamic functional principal components," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 77(2), pages 319-348, March.
    30. Jentsch, Carsten & Kreiss, Jens-Peter, 2010. "The multiple hybrid bootstrap -- Resampling multivariate linear processes," Journal of Multivariate Analysis, Elsevier, vol. 101(10), pages 2320-2345, November.
    31. Robert T. Krafty & William O. Collinge, 2013. "Penalized multivariate Whittle likelihood for power spectrum estimation," Biometrika, Biometrika Trust, vol. 100(2), pages 447-458.
    32. Roueff, Francois & von Sachs, Rainer, 2019. "Time-frequency analysis of locally stationary Hawkes processes," LIDAM Reprints ISBA 2019012, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    33. Roueff, Francois & von Sachs, Rainer & Sansonnet, Laure, 2016. "Locally stationary Hawkes processes," LIDAM Reprints ISBA 2016026, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    34. Davis, Richard A. & Mikosch, Thomas & Zhao, Yuwei, 2013. "Measures of serial extremal dependence and their estimation," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2575-2602.
    35. EICHLER , Michael & Motta, Giovanni & von Sachs, Rainer, 2011. "Fitting dynamic factor models to non-stationary time series," LIDAM Reprints ISBA 2011013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    36. J. Sanderson & P. Fryzlewicz & M. W. Jones, 2010. "Estimating linear dependence between nonstationary time series using the locally stationary wavelet model," Biometrika, Biometrika Trust, vol. 97(2), pages 435-446.
    37. Eichler, Michael & Motta, Giovanni & von Sachs, Rainer, 2011. "Fitting dynamic factor models to non-stationary time series," Journal of Econometrics, Elsevier, vol. 163(1), pages 51-70, July.
    38. Rainer von Sachs, 1994. "Peak‐Insensitive Non‐Parametric Spectrum Estimation," Journal of Time Series Analysis, Wiley Blackwell, vol. 15(4), pages 429-452, July.
    39. Fiecas, Mark & von Sachs, Rainer, 2014. "Data-driven shrinkage of the spectral density matrix of a high-dimensional time series," LIDAM Reprints ISBA 2014045, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    40. Mark Fiecas & Jürgen Franke & Rainer von Sachs & Joseph Tadjuidje Kamgaing, 2017. "Shrinkage Estimation for Multivariate Hidden Markov Models," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(517), pages 424-435, January.
    41. Ori Rosen & Sally Wood & David S. Stoffer, 2012. "AdaptSPEC: Adaptive Spectral Estimation for Nonstationary Time Series," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 107(500), pages 1575-1589, December.
    42. Chau, Van Vinh & Ombao, Hernando & von Sachs, Rainer, 2019. "Intrinsic data depth for Hermitian positive definite matrices," LIDAM Reprints ISBA 2019020, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    43. Holger Dette & Efstathios Paparoditis, 2009. "Bootstrapping frequency domain tests in multivariate time series with an application to comparing spectral densities," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(4), pages 831-857, September.
    44. Bhm, Hilmar & von Sachs, Rainer, 2009. "Shrinkage estimation in the frequency domain of multivariate time series," Journal of Multivariate Analysis, Elsevier, vol. 100(5), pages 913-935, May.
    45. Cristina Gorrostieta & Hernando Ombao & Raquel Prado & Shaun Patel & Emad Eskandar, 2012. "Exploring dependence between brain signals in a monkey during learning," Journal of Time Series Analysis, Wiley Blackwell, vol. 33(5), pages 771-778, September.
    46. Robert T. Krafty & Martica Hall & Wensheng Guo, 2011. "Functional mixed effects spectral analysis," Biometrika, Biometrika Trust, vol. 98(3), pages 583-598.
    47. Ying Yuan & Hongtu Zhu & Weili Lin & J. S. Marron, 2012. "Local polynomial regression for symmetric positive definite matrices," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 74(4), pages 697-719, September.
    48. Fiecas, Marc & Franke, Jurgen & von Sachs, Rainer & Tadjuidje, Joseph, 2017. "Shrinkage Estimation for Multivariate Hidden Markov Mixture Models," LIDAM Reprints ISBA 2017032, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    49. Hong‐Ye Gao, 1997. "Choice of thresholds for wavelet shrinkage estimate of the spectrum," Journal of Time Series Analysis, Wiley Blackwell, vol. 18(3), pages 231-251, May.
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