Quantile Periodograms

DOI10.1080/01621459.2012.682815zbMath1261.62082OpenAlexW4250275086MaRDI QIDQ4916511

Ta-Hsin Li

Publication date: 22 April 2013

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01621459.2012.682815

zbMATH Keywords

Fourier transformstime seriesquantile regressionspectral analysispower spectrumlevel crossinghidden periodicity

Mathematics Subject Classification ID

Related Items (19)

Nonlinear Spectral Analysis: A Local Gaussian Approach ⋮ Quantile spectral processes: asymptotic analysis and inference ⋮ The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series ⋮ A semi-parametric estimation method for the quantile spectrum with an application to earthquake classification using convolutional neural network ⋮ Clustering of time series using quantile autocovariances ⋮ Statistical inference for quantiles in the frequency domain ⋮ QUANTILOGRAMS UNDER STRONG DEPENDENCE ⋮ Fourier Analysis of Serial Dependence Measures ⋮ Bayesian copula spectral analysis for stationary time series ⋮ Robust tests for time series comparison based on Laplace periodograms ⋮ Model assessment for time series dynamics using copula spectral densities: a graphical tool ⋮ ASYMPTOTIC THEORY FOR NONLINEAR QUANTILE REGRESSION UNDER WEAK DEPENDENCE ⋮ QUANTILE PERIODOGRAM AND TIME‐DEPENDENT VARIANCE ⋮ Composite Quantile Periodogram for Spectral Analysis ⋮ Robust fuzzy clustering based on quantile autocovariances ⋮ Quantile autocovariances: a powerful tool for hard and soft partitional clustering of time series ⋮ Penalised quantile periodogram for spectral estimation ⋮ Of copulas, quantiles, ranks and spectra: an \(L_{1}\)-approach to spectral analysis ⋮ The integrated copula spectrum

Cites Work

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• Time series: theory and methods.
• A general Bahadur representation of \(M\)-estimators and its application to linear regression with nonstochastic designs
• The Gaussian hare and the Laplacian tortoise: computability of squared-error versus absolute-error estimators. With comments by Ronald A. Thisted and M. R. Osborne and a rejoinder by the authors
• Limiting distributions for \(L_1\) regression estimators under general conditions
• The asymptotic distribution of the unconditional quantile estimator under dependence
• On robust spectral analysis by least absolute deviations
• Laplace Periodogram for Time Series Analysis
• The effect of a memoryless nonlinearity on the spectrum of a random process
• The Evaluation of General Non-Centred Orthant Probabilities

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