Tail Spectral Density Estimation and Its Uncertainty Quantification: Another Look at Tail Dependent Time Series Analysis
尾部谱密度估计及其不确定性量化
We consider the estimation and uncertainty quantification of the tail spectral density, which provide a foundation for tail spectral analysis of tail dependent time series. The tail spectral density has a particular focus on serial dependence in the tail, and can reveal dependence information that is otherwise not discoverable by the traditional spectral analysis. Understanding the convergence rate of tail spectral density estimators and finding rigorous ways to quantify…