Laplace periodogram for time series analysis

• 成果类型: Article
• 署名作者: Li, Ta-Hsin
• 刊物名称: JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
• ISSN/ISSBN: 0162-1459
• DOI: 10.1198/016214508000000265
• 发表日期: 2008
• 页码: 757-768
• 关键词: heart-rate-variability; absolute deviation estimation; regression; BEAT

摘要

A new type of periodogram, called the Laplace periodogram, is derived by replacing least squares with least absolute deviations in the harmonic regression procedure that produces the ordinary periodogram of a time series. An asymptotic analysis reveals a connection between the Laplace periodogram and the zero-crossing spectrum. This relationship provides a theoretical justification for use of the Laplace periodogram as a nonparametric tool for analyzing the serial dependence of time series data. Superiority of the Laplace periodogram in handling heavy-tailed noise and nonlinear distortion is demonstrated by simulations. A real-data example shows its great effectiveness in analyzing heart rate variability in the presence of ectopic events and artifacts.