Quantile Periodograms

• 成果类型: Article
• 署名作者: Li, Ta-Hsin
• 署名单位: International Business Machines (IBM); IBM USA
• 刊物名称: JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
• ISSN/ISSBN: 0162-1459
• DOI: 10.1080/01621459.2012.682815
• 发表日期: 2012
• 页码: 765-776
• 关键词: regression; estimators

摘要

Two periodogram-like functions, called quantile periodograms, are introduced for spectral analysis of time series. The quantile periodograms are constructed from trigonometric quantile regression and motivated by different interpretations of the ordinary periodogram. Analytical and numerical results demonstrate the capability of the quantile periodograms for detecting hidden periodicity in the quantiles and for providing an additional view of time-series data. A connection between the quantile periodograms and the so-called level-crossing spectrum is established through an asymptotic analysis.