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1 results

Quantile spectral analysis and long-memory time series
Emanuel Parzen
Journal:

Journal of Applied Probability / Volume 23 / Issue A / 1986

Published online by Cambridge University Press:

14 July 2016, pp. 41-54

Print publication:

1986
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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.

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Quantile spectral analysis and long-memory time series