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 |
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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