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摘要
En 中文
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.
Keyword:
Fourier transform
Hidden periodicity
Level crossing
Periodogram
Power spectrum
Quantile regression
Spectral analysis
Time series
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