Composite quantile periodogram for spectral analysis

DOI10.1111/JTSA.12143MaRDI QIDQ2789389zbMATH OpenOpenAlexFDO

Authors Yaeji Lim, Hee-Seok Oh

Publication date 29 February 2016

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/jtsa.12143

zbMATH Keywords

composite quantilesfrequencyperiodogramquantilesspectral analysis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• A CENTRAL LIMIT THEOREM FOR MIXING TRIANGULAR ARRAYS OF VARIABLES WHOSE DEPENDENCE IS ALLOWED TO GROW WITH THE SAMPLE SIZE
• A robust periodogram for high-resolution spectral analysis
• Asymptotics for M-type smoothing splines
• Composite quantile regression and the oracle model selection theory
• Laplace Periodogram for Time Series Analysis
• Limiting distributions for \(L_1\) regression estimators under general conditions
• Of copulas, quantiles, ranks and spectra: an \(L_{1}\)-approach to spectral analysis
• Quantile periodograms
• Quantile Spectral Analysis for Locally Stationary Time Series
• Quantile spectral processes: asymptotic analysis and inference
• Rates of convergence for empirical processes of stationary mixing sequences
• Regression Quantiles
• The Adaptive Lasso and Its Oracle Properties
• The estimation and tracking of frequency
• The Role of Pseudo Data for Robust Smoothing with Application to Wavelet Regression

Cited in

(4)

• Penalised quantile periodogram for spectral estimation
• Quantile periodograms
• From zero crossings to quantile-frequency analysis of time series with an application to nondestructive evaluation
• A semi-parametric estimation method for the quantile spectrum with an application to earthquake classification using convolutional neural network

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