Composite Quantile Periodogram for Spectral Analysis
- Authors
- Lim, Yaeji; Oh, Hee-Seok
- Issue Date
- Mar-2016
- Publisher
- WILEY
- Keywords
- Composite quantiles; frequency; periodogram; quantiles; spectral analysis
- Citation
- JOURNAL OF TIME SERIES ANALYSIS, v.37, no.2, pp 195 - 221
- Pages
- 27
- Journal Title
- JOURNAL OF TIME SERIES ANALYSIS
- Volume
- 37
- Number
- 2
- Start Page
- 195
- End Page
- 221
- URI
- https://scholarworks.bwise.kr/cau/handle/2019.sw.cau/48291
- DOI
- 10.1111/jtsa.12143
- ISSN
- 0143-9782
1467-9892
- Abstract
- 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.
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Collections - College of Business & Economics > Department of Applied Statistics > 1. Journal Articles
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