On Wigner–Ville Spectra and the Uniqueness of Time‐Varying Copula‐Based Spectral Densities

9 Pages Posted: 16 Apr 2018

See all articles by Stefan Birr

Stefan Birr

Ruhr University of Bochum

Holger Dette

Ruhr University of Bochum - Faculty of Mathematics

Marc Hallin

ECARES, Universite Libre de Bruxelles

Tobias Kley

London School of Economics & Political Science (LSE) - Department of Statistics

Stanislav Volgushev

Ruhr University of Bochum - Faculty of Mathematics

Date Written: May 2018

Abstract

The uniqueness of the time‐varying copula‐based spectrum recently proposed by the authors is established via an asymptotic representation result involving Wigner–Ville spectra.

Keywords: Copula‐based spectrum, Laplace spectrum, quantile spectrum, time‐varying spectrum, Wigner–Ville spectrum

Suggested Citation

Birr, Stefan and Dette, Holger and Hallin, Marc and Kley, Tobias and Volgushev, Stanislav, On Wigner–Ville Spectra and the Uniqueness of Time‐Varying Copula‐Based Spectral Densities (May 2018). Journal of Time Series Analysis, Vol. 39, Issue 3, pp. 242-250, 2018, Available at SSRN: https://ssrn.com/abstract=3163167 or http://dx.doi.org/10.1111/jtsa.12252

Stefan Birr (Contact Author)

Ruhr University of Bochum ( email )

Faculty of Management and Economics
Chair of International Economics
Bochum, 44780
Germany

Holger Dette

Ruhr University of Bochum - Faculty of Mathematics ( email )

Universitatsstr. 150
D-44780 Bochum
Germany
+ 49 234 700 3284 (Phone)
+ 49 234 7094 559 (Fax)

Marc Hallin

ECARES, Universite Libre de Bruxelles ( email )

Ave. Franklin D Roosevelt, 50 - C.P. 114
Brussels, B-1050
Belgium
+32 2 650 5886 (Phone)
+32 2 650 5899 (Fax)

Tobias Kley

London School of Economics & Political Science (LSE) - Department of Statistics ( email )

Houghton Street
London, England WC2A 2AE
United Kingdom

Stanislav Volgushev

Ruhr University of Bochum - Faculty of Mathematics

D-44780 Bochum
Germany

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