SLEX analysis of multivariate nonstationary time series

Ombao, Hernando, von Sachs, Rainer, Guo, Wensheng . Journal of the American Statistical Association 2005. 100 (470) :519-531

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Bibtex

@article{CIS-196675,
  Author = {Ombao, Hernando and von Sachs, Rainer and Guo, Wensheng},
  Title = {SLEX analysis of multivariate nonstationary time series},
  Journal = {Journal of the American Statistical Association},
  Volume = {100},
  Number = {470},
  Year = {2005},
  Pages = {519--531},
  Keywords = {Time-frequency analysis, SLEX TRANSFORM, multivariate nonstationary time series, slex model, slex principal components, time-varying spectral matrix}
}

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