Publications

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

Birr, S. and Dette, H. and Hallin, M. and Kley, T. and Volgushev, S.

JOURNAL OF TIME SERIES ANALYSIS
Volume: 39 Pages: 242-250
DOI: 10.1111/jtsa.12252
Published: 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. Copyright © 2017 John Wiley & Sons Ltd

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