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Quantile Spectral Analysis for Locally Stationary Time Series

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

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  • Stefan Birr & Stanislav Volgushev & Tobias Kley & Holger Dette & Marc Hallin, 2015. "Quantile Spectral Analysis for Locally Stationary Time Series," Working Papers ECARES ECARES 2015-27, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:eca:wpaper:2013/206826
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    Cited by:

    1. Yuichi Goto & Tobias Kley & Ria Van Hecke & Stanislav Volgushev & Holger Dette & Marc Hallin, 2021. "The Integrated Copula Spectrum," Working Papers ECARES 2021-29, ULB -- Universite Libre de Bruxelles.
    2. Jozef Baruník & Tobias Kley, 2019. "Quantile coherency: A general measure for dependence between cyclical economic variables," The Econometrics Journal, Royal Economic Society, vol. 22(2), pages 131-152.
    3. Roueff, Francois & von Sachs, Rainer, 2017. "Time-frequency analysis of locally stationary Hawkes processes," LIDAM Discussion Papers ISBA 2017005, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    4. Shibin Zhang, 2022. "Automatic estimation of spatial spectra via smoothing splines," Computational Statistics, Springer, vol. 37(2), pages 565-590, April.
    5. Yuichi Goto & Masanobu Taniguchi, 2020. "Discriminant analysis based on binary time series," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 83(5), pages 569-595, July.
    6. von Sachs, Rainer, 2019. "Spectral Analysis of Multivariate Time Series," LIDAM Discussion Papers ISBA 2019008, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    7. Kley, Tobias & Preuss, Philip & Fryzlewicz, Piotr, 2019. "Predictive, finite-sample model choice for time series under stationarity and non-stationarity," LSE Research Online Documents on Economics 101748, London School of Economics and Political Science, LSE Library.
    8. 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.
    9. Lee, Ji Hyung & Linton, Oliver & Whang, Yoon-Jae, 2020. "Quantilograms Under Strong Dependence," Econometric Theory, Cambridge University Press, vol. 36(3), pages 457-487, June.
    10. Rajae Azrak & Guy Mélard, 2022. "Autoregressive Models with Time-Dependent Coefficients—A Comparison between Several Approaches," Stats, MDPI, vol. 5(3), pages 1-21, August.
    11. Zhang, Shibin, 2019. "Bayesian copula spectral analysis for stationary time series," Computational Statistics & Data Analysis, Elsevier, vol. 133(C), pages 166-179.
    12. Yaeji Lim & Hee-Seok Oh, 2022. "Quantile spectral analysis of long-memory processes," Empirical Economics, Springer, vol. 62(3), pages 1245-1266, March.
    13. Shibin Zhang, 2023. "A copula spectral test for pairwise time reversibility," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 75(5), pages 705-729, October.
    14. Chen, Tianbo & Sun, Ying & Li, Ta-Hsin, 2021. "A semi-parametric estimation method for the quantile spectrum with an application to earthquake classification using convolutional neural network," Computational Statistics & Data Analysis, Elsevier, vol. 154(C).
    15. Yan Liu, 2017. "Statistical inference for quantiles in the frequency domain," Statistical Inference for Stochastic Processes, Springer, vol. 20(3), pages 369-386, October.
    16. Yaeji Lim & Hee-Seok Oh, 2016. "Composite Quantile Periodogram for Spectral Analysis," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(2), pages 195-221, March.

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    Keywords

    copulas; nonstationarity; ranks; periodogram; laplace spectrum;
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