1 code implementation • 8 Aug 2017 • Lars Arne Jordanger, Dag Tjøstheim
The local Gaussian cross-spectrum has the desirable property that it coincides with the ordinary cross-spectrum for Gaussian time series, which implies that it can be used to detect non-Gaussian traits in the time series under investigation.
Methodology
1 code implementation • 7 Aug 2017 • Lars Arne Jordanger, Dag Tjøstheim
Asymmetries between the upper and lower tails of a time series can be investigated by means of the local Gaussian autocorrelations $\gamma_{v}(h)$ introduced in Tj{\o}stheim and Hufthammer (2013), and these local measures of dependence can be used to construct the local Gaussian spectral density $f_{v}(\omega)$ that is presented in this paper.
Methodology
