Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Van Hecke, Ria | - |
dc.contributor.author | Volgushev, Stanislav | - |
dc.contributor.author | Dette, Holger | - |
dc.date.accessioned | 2017-03-15T11:40:32Z | - |
dc.date.available | 2017-03-15T11:40:32Z | - |
dc.date.issued | 2017 | - |
dc.identifier.uri | http://hdl.handle.net/2003/35853 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-17877 | - |
dc.description.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. | en |
dc.language.iso | en | de |
dc.relation.ispartofseries | Discussion Paper / SFB823;6, 2017 | en |
dc.subject | spectral theory | en |
dc.subject | U-statistics | en |
dc.subject | strictly stationary time series | en |
dc.subject.ddc | 310 | - |
dc.subject.ddc | 330 | - |
dc.subject.ddc | 620 | - |
dc.title | Fourier analysis of serial dependence measures | en |
dc.type | Text | de |
dc.type.publicationtype | workingPaper | de |
dc.subject.rswk | Spektraldichte | de |
dc.subject.rswk | U-Statistik | de |
dcterms.accessRights | open access | - |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_0617_SFB823_VanHecke_Volgushev_Dette.pdf | DNB | 502.38 kB | Adobe PDF | View/Open |
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