Fourier analysis of serial dependence measures
Statistics Theory
2017-03-14 v1 Statistics Theory
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 , for which the limiting variance exhibits a surprising behavior.
Cite
@article{arxiv.1703.04320,
title = {Fourier analysis of serial dependence measures},
author = {Ria van Hecke and Stanislav Volgushev and Holger Dette},
journal= {arXiv preprint arXiv:1703.04320},
year = {2017}
}