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Quantile spectral analysis and long-memory time series

Published online by Cambridge University Press:  14 July 2016

Abstract

An approach to time series model identification is described which involves the simultaneous use of frequency, time and quantile domain algorithms; the approach is called quantile spectral analysis. It proposes a framework to integrate the analysis of long-memory (non-stationary) time series with the analysis of short-memory (stationary) time series.

Type
Part 1—Structure and General Methods for Time Series
Copyright
Copyright © 1986 Applied Probability Trust 

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