Fourier analysis of serial dependence measures

DOI10.1111/JTSA.12266MaRDI QIDQ4604007zbMATH OpenOpenAlexFDO

Authors Ria Van Hecke, Stanislav Volgushev, Holger Dette

Publication date 23 February 2018

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

Full work available at URL https://arxiv.org/abs/1703.04320

zbMATH Keywords

\(U\)-statisticsspectral theorystrictly stationary time series

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes and spectral analysis (62M15)

Abstract: Classical spectral analysis is based on the discrete Fourier transform of the auto-covariances. In this paper we investigate the asymptotic properties of new frequency domain methods where the auto-covariances in the spectral density are replaced by alternative dependence measures which can be estimated by U-statistics. An interesting example is given by Kendall{'}s $au$ , for which the limiting variance exhibits a surprising behavior.

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Cites work

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Cited in

(5)

• Spectral analysis for discrete longitudinal data
• Tests of serial dependence for multivariate time series with arbitrary distributions
• Quantile-based spectral analysis: asymptotic theory and computation
• FOURIER SERIES ESTIMATION FOR LENGTH BIASED DATA
• Analysis of correlations between time series with the use of the phase spectrum

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