Quantile Spectral Processes: Asymptotic Analysis and Inference
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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.
- Stefan Skowronek & Stanislav Volgushev & Tobias Kley & Holger Dette & Marc Hallin, 2014. "Quantile Spectral Analysis for Locally Stationary Time Series," Working Papers ECARES ecares 2014-24, ULB -- Universite Libre de Bruxelles.
- 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.
- Jozef Barun'ik & Tobias Kley, 2015. "Quantile Cross-Spectral Measures of Dependence between Economic Variables," Papers 1510.06946, arXiv.org.
- repec:spr:sistpr:v:20:y:2017:i:3:d:10.1007_s11203-017-9166-4 is not listed on IDEAS
- Yaeji Lim & Hee-Seok Oh, 2016. "Composite Quantile Periodogram for Spectral Analysis," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(2), pages 195-221, March.
More about this item
Keywordstime series; spectral analysis; periodogram; quantiles; copulas; ranks; spearman; blomqvist; gini spectra;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-03-30 (All new papers)
- NEP-ECM-2014-03-30 (Econometrics)
- NEP-ETS-2014-03-30 (Econometric Time Series)
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