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Quantile multitaper periodogram
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DOI：10.1515/mcma-2026-3006.png)
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Abstract
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This paper introduces a novel estimator for the spectral density function, combining the quantile periodogram and the multitaper periodogram. We demonstrate that the quantile multitaper periodogram inherits the robustness properties of the quantile periodogram while benefiting from the bias and variance reduction achieved through multitapering. The proposed spectral estimator is well-suited for time series analysis under general conditions of non-linearity and non-normality.
Keywords:
Time series
level crossing
multitaper spectral estimator
quantile periodogram
Journal
M
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0.6
Papers:
19
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0
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