Authors: Van Hecke, Ria
Volgushev, Stanislav
Dette, Holger
Title: Fourier analysis of serial dependence measures
Language (ISO): en
Abstract: Classical spectral analysis is based on the discrete Fourier transform of the auto-covariances. In this paper we investigate the asymptotic properties of new frequency domain methods where the auto-covariances in the spectral density are replaced by alternative dependence measures which can be estimated by U-statistics. An interesting example is given by Kendall's r , for which the limiting variance exhibits a surprising behavior.
Subject Headings: spectral theory
U-statistics
strictly stationary time series
Subject Headings (RSWK): Spektraldichte
U-Statistik
URI: http://hdl.handle.net/2003/35853
http://dx.doi.org/10.17877/DE290R-17877
Issue Date: 2017
Appears in Collections:Sonderforschungsbereich (SFB) 823

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