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stat.ME2017
Local Gaussian cross-spectrum analysis
Lars Arne Jordanger, Dag Tjøstheim
The ordinary spectrum is restricted in its applications, since it is based on the second order moments (auto and cross-covariances). Alternative approaches to spectrum analysis hav…
stat.ME2017
Nonlinear spectral analysis: A local Gaussian approach
Lars Arne Jordanger, Dag Tjøstheim
The spectral distribution of a stationary time series can be used to investigate whether or not periodic structures are present in $\{Y_t\}_{t\in\…