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

Author

Listed:
  • Stefan Birr
  • Holger Dette
  • Marc Hallin
  • Tobias Kley
  • Stanislav Volgushev

Abstract

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.

Suggested Citation

  • Stefan Birr & Holger Dette & Marc Hallin & Tobias Kley & Stanislav Volgushev, 2016. "On Wigner-Ville Spectra and the Unicity of Time-Varying Quantile-Based Spectral Densities," Working Papers ECARES ECARES 2016-38, ULB -- Universite Libre de Bruxelles.
  • Handle: RePEc:eca:wpaper:2013/240522
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    References listed on IDEAS

    as
    1. Ta-Hsin Li, 2014. "Quantile Periodogram And Time-Dependent Variance," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(4), pages 322-340, July.
    2. repec:bla:jorssb:v:79:y:2017:i:5:p:1619-1643 is not listed on IDEAS
    3. 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.
    4. 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.
    5. 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.
    6. Ta-Hsin Li, 2012. "Quantile Periodograms," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 107(498), pages 765-776, June.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. 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.

    More about this item

    Keywords

    copula-based spectrum; laplace spectrum; quantile-based spectrum; time-varying spectrum; wigner-ville spectrum;

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