Composite Quantile Periodogram for Spectral Analysis
Yaeji Lim, Hee‐Seok Oh · Journal of Time Series Analysis · 2015
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.