SLEX analysis of multivariate nonstationary time series

Journal of the American Statistical Association

Volumn 100, Issue 470, 2005, Pages 519-531

  Ombao, Hernando ^a   Von Sachs, Rainer ^b   Guo, Wensheng ^c  

^a UNIVERSITY OF ILLINOIS AT URBANA CHAMPAIGN   (United States)

^b UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

^c UNIVERSITY OF PENNSYLVANIA   (United States)

Author keywords

Multivariate nonstationary time series; SLEX model; SLEX principal components; SLEX transform; Time frequency analysis; Time varying spectral matrix

Indexed keywords

EID: 20444432356     PISSN: 01621459     EISSN: None     Source Type: Journal    
DOI: 10.1198/016214504000001448     Document Type: Article

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