Composite Quantile Periodogram for Spectral Analysis

Yaeji Lim and Hee-Seok Oh

Journal of Time Series Analysis, 2016, vol. 37, issue 2, 195-221

Abstract: type="main" xml:id="jtsa12143-abs-0001"> We propose a new type of periodogram for identifying hidden frequencies and providing a better understanding of the frequency behaviour. The quantile periodogram by Li ( ) provides richer information on the frequency of signal than a single estimation of the mean frequency does. However, it is difficult to find a specific quantile that identifies hidden frequencies. In this study, we consider a weighted linear combination of quantile periodograms, termed 'composite quantile periodogram'. It is completely data adaptive and does not require prior knowledge of the signal. Simulation results and real-data example demonstrate significant improvement in the quality of the periodogram.

Date: 2016
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