Fourier analysis of serial dependence measures

13 Mar 2017  ·  van Hecke Ria, Volgushev Stanislav, Dette Holger ·

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 $\tau$ , for which the limiting variance exhibits a surprising behavior. read more

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Statistics Theory Statistics Theory