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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spectral theory, U-statistics, strictly stationary time series

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