Quantile Periodograms

Ta-Hsin Li

Journal of the American Statistical Association, 2012, vol. 107, issue 498, 765-776

Abstract: 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.

Date: 2012
References: View complete reference list from CitEc
Citations: View citations in EconPapers (19)

Downloads: (external link)
http://hdl.handle.net/10.1080/01621459.2012.682815 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:jnlasa:v:107:y:2012:i:498:p:765-776

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/UASA20

DOI: 10.1080/01621459.2012.682815

Access Statistics for this article

Journal of the American Statistical Association is currently edited by Xuming He, Jun Liu, Joseph Ibrahim and Alyson Wilson

More articles in Journal of the American Statistical Association from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().