On Wigner–Ville Spectra and the Uniqueness of Time‐Varying Copula‐Based Spectral Densities

DOI10.1111/JTSA.12252MaRDI QIDQ4640218zbMATH OpenOpenAlexFDO

Authors Stefan Birr, Marc Hallin, Tobias Kley, Stanislav Volgushev, Holger Dette

Publication date 16 May 2018

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

Full work available at URL https://arxiv.org/abs/1611.07253

zbMATH Keywords

copula-based spectrumLaplace spectrumquantile spectrumtime-varying spectrumWigner-Ville spectrum

Mathematics Subject Classification ID

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

Abstract: The unicity of the time-varying quantile-based spectrum proposed in Birr et al. (2016) is established via an asymptotic representation result involving Wigner-Ville spectra.

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Cited in

(2)

• Graphical models for nonstationary time series
• Marc Hallin: a commented bibliography (from 1972 to 2023)

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