Fourier analysis of serial dependence measures
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Date
2017
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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.
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Keywords
spectral theory, U-statistics, strictly stationary time series
Subjects based on RSWK
Spektraldichte, U-Statistik