Fourier analysis of serial dependence measures
Loading...
Date
2017
Journal Title
Journal ISSN
Volume Title
Publisher
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.
Description
Table of contents
Keywords
spectral theory, U-statistics, strictly stationary time series