type="main" xml:id="jtsa12065-abs-0001"This article investigates the statistical properties of the recently introduced quantile periodogram for time series with time-dependent variance. The asymptotic distribution of the quantile periodogram is derived in the case where the time series consists...

Two periodogram-like functions, called quantile periodograms, are introduced for spectral analysis of time series. The quantile periodograms are constructed from trigonometric quantile regression and motivated by different interpretations of the ordinary periodogram. Analytical and numerical...