Quantile spectral processes: asymptotic analysis and inference

DOI10.3150/15-BEJ711zbMATH Open1369.62245arXiv1401.8104OpenAlexW3105232361MaRDI QIDQ282565FDOQ282565

Authors: Tobias Kley, Stanislav Volgushev, Marc Hallin, Holger Dette 

Publication date: 12 May 2016

Published in: Bernoulli (Search for Journal in Brave)

Abstract: Quantile- and copula-related spectral concepts recently have been considered by various authors. Those spectra, in their most general form, provide a full characterization of the copulas associated with the pairs $(X_t,X_{t-k})$ in a process $(X_t{)}_{tinmathbbZ}$, and account for important dynamic features, such as changes in the conditional shape (skewness, kurtosis), time-irreversibility, or dependence in the extremes that their traditional counterparts cannot capture. Despite various proposals for estimation strategies, only quite incomplete asymptotic distributional results are available so far for the proposed estimators, which constitutes an important obstacle for their practical application. In this paper, we provide a detailed asymptotic analysis of a class of smoothed rank-based cross-periodograms associated with the copula spectral density kernels introduced in Dette et al. [Bernoulli 21 (2015) 781-831]. We show that, for a very general class of (possibly nonlinear) processes, properly scaled and centered smoothed versions of those cross-periodograms, indexed by couples of quantile levels, converge weakly, as stochastic processes, to Gaussian processes. A first application of those results is the construction of asymptotic confidence intervals for copula spectral density kernels. The same convergence results also provide asymptotic distributions (under serially dependent observations) for a new class of rank-based spectral methods involving the Fourier transforms of rank-based serial statistics such as the Spearman, Blomqvist or Gini autocovariance coefficients.

Full work available at URL: https://arxiv.org/abs/1401.8104

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zbMATH Keywords

Gaussian processesrankstime seriescopulasspectral analysisweak convergenceperiodogramGini spectraquantile spectral processes

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Cited In (25)

• A distribution free test for changes in the trend function of locally stationary processes
• Robust tests for time series comparison based on Laplace periodograms
• Automatic estimation of spatial spectra via smoothing splines
• Nonlinear Spectral Analysis: A Local Gaussian Approach
• Statistical analysis of irregularly spaced spatial data in frequency domain
• Robust fuzzy clustering based on quantile autocovariances
• A conversation with Marc Hallin
• Title not available (Why is that?)
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• Composite quantile periodogram for spectral analysis
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• Quantile-based fuzzy \(C\)-means clustering of multivariate time series: robust techniques

Uses Software

• robustbase
• quantspec
• quantilogram

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