In this paper we present an alternative method for the spectral analysis of a strictly stationary time series {Yt}t2Z. We define a “new” spectrum as the Fourier transform of the differences between copulas of the pairs (Yt, Yt−k) and the independence copula. This object is called copula...

We define rank-based estimators (R-estimators) for semiparametric time series models in whichthe conditional location and scale depend on a Euclidean parameter, while the innovation density isan infinite-dimensional nuisance. Applications include linear and nonlinear models, featuring...