Fast computation and practical use of amplitudes at non-Fourier frequencies

DOI10.1007/S00180-020-01061-4zbMath1505.62338OpenAlexW3127682167MaRDI QIDQ2666997

Manveer K. Mangat, Erhard Reschenhofer

Publication date: 23 November 2021

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-020-01061-4

zbMATH Keywords

long-range dependenceperiodogramfinancial high-frequency datafractional Fourier frequencies

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Uses Software

• longmemo

Cites Work

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