Nonlinear Spectral Analysis: A Local Gaussian Approach

DOI10.1080/01621459.2020.1840991OpenAlexW3095687380MaRDI QIDQ5885124FDOQ5885124

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

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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)

Cites Work

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Cited In (3)

• Some recent trends in embeddings of time series and dynamic networks
• Testing for time-varying nonlinear dependence structures: regime-switching and local Gaussian correlation
• Statistical modeling using local Gaussian approximation

Uses Software

• localgauss
• quantilogram

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