Corpus ID: 36692034

Instantaneous and lagged measurements of linear and nonlinear dependence between groups of multivariate time series: frequency decomposition

  title={Instantaneous and lagged measurements of linear and nonlinear dependence between groups of multivariate time series: frequency decomposition},
  author={R. Pascual-Marqui},
  journal={arXiv: Methodology},
  • R. Pascual-Marqui
  • Published 2007
  • Mathematics
  • arXiv: Methodology
  • Measures of linear dependence (coherence) and nonlinear dependence (phase synchronization) between any number of multivariate time series are defined. The measures are expressed as the sum of lagged dependence and instantaneous dependence. The measures are non-negative, and take the value zero only when there is independence of the pertinent type. These measures are defined in the frequency domain and are applicable to stationary and non-stationary time series. These new results extend and… CONTINUE READING
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