Penalised quantile periodogram for spectral estimation

DOI10.1016/j.jspi.2019.11.004zbMath1437.62348MaRDI QIDQ2301105

Tarek Medkour, Karim Djouani, Aymen Meziani

Publication date: 28 February 2020

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2019.11.004

zbMATH Keywords

asymptotic distribution; quantile regression; spectral density estimation; periodogram; hidden periodicity; Lasso penalisation

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62J07: Ridge regression; shrinkage estimators (Lasso)

62M15: Inference from stochastic processes and spectral analysis

Uses Software

• quantilogram

Cites Work

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