Local Gaussian Cross-Spectrum Analysis
نویسندگان
چکیده
The ordinary spectrum is restricted in its applications, since it based on the second-order moments (auto- and cross-covariances). Alternative approaches to analysis have been investigated other measures of dependence. One such approach was developed for univariate time series by authors this paper using local Gaussian auto-spectrum auto-correlations. This makes possible detect structures that look similar white noise when auto-spectrum. In paper, extended a cross-spectrum multivariate series. has desirable property coincides with series, which implies can be used non-Gaussian traits under investigation. particular, if flat, then peaks troughs indicate nonlinear traits, potentially might reveal periodic phenomena are undetected an spectral analysis.
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ژورنال
عنوان ژورنال: Econometrics
سال: 2023
ISSN: ['2225-1146']
DOI: https://doi.org/10.3390/econometrics11020012