Ombao, H.; Raz, J.; von Sachs, R.; Malow, B. - Catholique de Louvain - Institut de statistique - 1999
We propose a new method, the "Auto-SLEX" method, for analyzing bivariate non-stationary processes. The Auto-SLEX method is a procedure that automatically segments the time series into approximatively stationary blocks and automatically estimates the time-varying spectra and coherence.