IDEAS home Printed from https://ideas.repec.org/a/bla/jtsera/v39y2018i1p75-89.html
   My bibliography  Save this article

Fourier Analysis of Serial Dependence Measures

Author

Listed:
  • Ria Van Hecke
  • Stanislav Volgushev
  • Holger Dette

Abstract

Classical spectral analysis is based on the discrete Fourier transform of the autocovariances. In this article we investigate the asymptotic properties of new frequency†domain methods where the autocovariances in the spectral density are replaced by alternative dependence measures that can be estimated by U†statistics. An interesting example is given by Kendall's τ, for which the limiting variance exhibits a surprising behavior.

Suggested Citation

  • Ria Van Hecke & Stanislav Volgushev & Holger Dette, 2018. "Fourier Analysis of Serial Dependence Measures," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(1), pages 75-89, January.
    • Handle: RePEc:bla:jtsera:v:39:y:2018:i:1:p:75-89
    DOI: 10.1111/jtsa.12266
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/jtsa.12266
    Download Restriction: no
    File URL: https://libkey.io/10.1111/jtsa.12266?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ta‐Hsin Li, 2021. "Quantile‐frequency analysis and spectral measures for diagnostic checks of time series with nonlinear dynamics," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 70(2), pages 270-290, March.
    2. Nasri, Bouchra R., 2022. "Tests of serial dependence for multivariate time series with arbitrary distributions," Journal of Multivariate Analysis, Elsevier, vol. 192(C).
    3. Ta-Hsin Li, 2019. "Quantile-Frequency Analysis and Spectral Divergence Metrics for Diagnostic Checks of Time Series With Nonlinear Dynamics," Papers 1908.02545, arXiv.org.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:39:y:2018:i:1:p:75-89. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.