Nonlinear Spectral Analysis: A Local Gaussian Approach

DOI10.1080/01621459.2020.1840991MaRDI QIDQ5885124zbMATH OpenOpenAlexFDO

Authors Lars Arne Jordanger, Dag Tjøstheim

Publication date 27 March 2023

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

Full work available at URL https://arxiv.org/abs/1708.02166

zbMATH Keywords

GARCH modelsgraphical toolslocal periodicities

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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Cited in

(5)

• Some recent trends in embeddings of time series and dynamic networks
• Testing for time-varying nonlinear dependence structures: regime-switching and local Gaussian correlation
• Quantile-crossing spectrum and spline autoregression estimation
• Statistical modeling using local Gaussian approximation
• Spline Autoregression Method for Estimation of Quantile Spectrum

Describes a project that uses

Uses Software

• quantilogram
• localgauss

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