The integrated copula spectrum

DOI10.1214/22-AOS2240MaRDI QIDQ2112830

Yuichi Goto, Stanislav Volgushev, Tobias Kley, Ria Van Hecke, Marc Hallin, Dette, Holger

Publication date: 12 January 2023

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2112.07077

zbMATH Keywords

copulafrequency domaintime seriestime reversibility

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Order statistics; empirical distribution functions (62G30) Inference from stochastic processes and spectral analysis (62M15)

Uses Software

• quantspec
• quantilogram

Cites Work

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