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Composite quantile periodogram for spectral analysis
Cited 5 time in
Web of Science
Cited 6 time in Scopus
- Authors
- Issue Date
- 2016-03
- Publisher
- Tieto, Ltd
- Citation
- Journal of Time Series Analysis, Vol.37 No.2, pp.195-221
- 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.
- ISSN
- 0143-9782
- Language
- English
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