Download This PaperOn Wigner–Ville Spectra and the Uniqueness of Time‐Varying Copula‐Based Spectral Densities
9 Pages Posted: 16 Apr 2018
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: 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
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