论文标题
分位数傅立叶变换，分位数和分位数光谱的非参数估计
Quantile Fourier Transform, Quantile Series, and Nonparametric Estimation of Quantile Spectra
论文作者
论文摘要
提出了一种非参数方法，用于估计LI（2012; 2014）中引入的分位数光谱和跨光谱作为频率和分位水平的双变量功能。该方法基于由三角分位数回归定义的分位数离散傅立叶变换（QDFT）和由QDFT的反傅立叶变换定义的分位数序列（QSER）。使用lag-window（LW）方法，根据QSER的自动增强功能构建了非参数光谱估计器。当基础频谱相对于分位数方面的平稳变化时，还采用平滑技术来降低跨分位数的LW估计器的统计变异性。通过模拟研究评估了提出的估计方法的性能。
A nonparametric method is proposed for estimating the quantile spectra and cross-spectra introduced in Li (2012; 2014) as bivariate functions of frequency and quantile level. The method is based on the quantile discrete Fourier transform (QDFT) defined by trigonometric quantile regression and the quantile series (QSER) defined by the inverse Fourier transform of the QDFT. A nonparametric spectral estimator is constructed from the autocovariance function of the QSER using the lag-window (LW) approach. Smoothing techniques are also employed to reduce the statistical variability of the LW estimator across quantiles when the underlying spectrum varies smoothly with respect to the quantile level. The performance of the proposed estimation method is evaluated through a simulation study.
