Of Copulas, Quantiles, Ranks and Spectra - An L1-Approach to Spectral Analysis
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- Stefan Birr & Stanislav Volgushev & Tobias Kley & Holger Dette & Marc Hallin, 2017.
"Quantile spectral analysis for locally stationary time series,"
Journal of the Royal Statistical Society Series B,
Royal Statistical Society, vol. 79(5), pages 1619-1643, November.
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- Stefan Birr & Stanislav Volgushev & Tobias Kley & Holger Dette & Marc Hallin, 2015. "Quantile Spectral Analysis for Locally Stationary Time Series," Working Papers ECARES ECARES 2015-27, ULB -- Universite Libre de Bruxelles.
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KeywordsTime series; spectral analysis; periodogram; quantile regression; copulas; ranks; time reversibility;
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