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On Wigner-Ville Spectra and the Unicity of Time-Varying Quantile-Based Spectral Densities

Listed author(s):
  • Stefan Birr
  • Holger Dette
  • Marc Hallin
  • Tobias Kley
  • Stanislav Volgushev

The unicity of the time-varying quantile-based spectrum proposed in Birr et al. (2016) is established via an asymptotic representation result involving Wigner-Ville spectra.

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File URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/240522/3/2016-38-BIRR_DETTE_HALLIN_KLEY_VOLGUSHEV-on.pdf
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Paper provided by ULB -- Universite Libre de Bruxelles in its series Working Papers ECARES with number ECARES 2016-38.

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Length: 11 p.
Date of creation: Nov 2016
Publication status: Published by:
Handle: RePEc:eca:wpaper:2013/240522
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  1. 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.
  2. Li, Ta-Hsin, 2008. "Laplace Periodogram for Time Series Analysis," Journal of the American Statistical Association, American Statistical Association, vol. 103, pages 757-768, June.
  3. Dahlhaus, R., 1996. "On the Kullback-Leibler information divergence of locally stationary processes," Stochastic Processes and their Applications, Elsevier, vol. 62(1), pages 139-168, March.
  4. Ta-Hsin Li, 2012. "Quantile Periodograms," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 107(498), pages 765-776, June.
  5. Ta-Hsin Li, 2014. "Quantile Periodogram And Time-Dependent Variance," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(4), pages 322-340, 07.
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