Search Results for author: Lars Arne Jordanger

Found 2 papers, 2 papers with code

Nonlinear cross-spectrum analysis via the local Gaussian correlation

1 code implementation8 Aug 2017 Lars Arne Jordanger, Dag Tjøstheim

In particular: If the ordinary spectrum is flat, then peaks and troughs of the local Gaussian spectrum can indicate nonlinear traits, which potentially might discover local periodic phenomena that goes undetected in an ordinary spectral analysis.

Methodology

Nonlinear spectral analysis: A local Gaussian approach

1 code implementation7 Aug 2017 Lars Arne Jordanger, Dag Tjøstheim

Asymmetries between the upper and lower tails of a time series can be investigated by means of the local Gaussian autocorrelations $\gamma_{v}(h)$ introduced in Tj{\o}stheim and Hufthammer (2013), and these local measures of dependence can be used to construct the local Gaussian spectral density $f_{v}(\omega)$ that is presented in this paper.

Methodology

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