A new frequency domain approach of testing for covariance stationarity and for periodic stationarity in multivariate linear processes (Q2930878): Difference between revisions

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scientific article

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English	A new frequency domain approach of testing for covariance stationarity and for periodic stationarity in multivariate linear processes	scientific article

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scholarly article

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title

A new frequency domain approach of testing for covariance stationarity and for periodic stationarity in multivariate linear processes (English)

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author

Carsten Jentsch

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published in

Journal of Time Series Analysis

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publication date

20 November 2014

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zbMATH Keywords

hypothesis testing

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testing for stationarity

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testing for periodic stationarity

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periodic time series

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multivariate time series

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linear process

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spectral density matrix

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kernel spectral density estimates

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hybrid bootstrap

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1111/j.1467-9892.2011.00750.x

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cites work

Large Sample Properties of Parameter Estimates for Periodic ARMA Models

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ON THE INVERTIBILITY OF PERIODIC MOVING-AVERAGE MODELS

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Spectral Factorization of Periodically Correlated MA(1) Processes

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Time series: theory and methods.

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Q3711570

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Testing nonparametric and semiparametric hypotheses in vector stationary processes

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Periodic Time Series Models

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Central limit theorems for generalized<i>U</i>-statistics with applications in nonparametric specification

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Q5613639

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Q5612941

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Comparing nonparametric versus parametric regression fits

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Testing periodicity in time series models -- A recommendation of bootstrap models

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Periodically Correlated Random Sequences

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The multiple hybrid bootstrap -- resampling multivariate linear processes

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Time series with periodic structure

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Autoregressive-aided periodogram bootstrap for time series

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Subsampling in testing autocovariance for periodically correlated time series

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Recursive Prediction and Likelihood Evaluation for Periodic ARMA Models

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PARSIMONIOUS PERIODIC TIME SERIES MODELING

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Parsimony, Model Adequacy and Periodic Correlation in Time Series Forecasting

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DIAGNOSTIC CHECKING OF PERIODIC AUTOREGRESSION MODELS WITH APPLICATION

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On periodic and multiple autoregressions

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Spectral Density Based Goodness‐of‐Fit Tests for Time Series Models

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Testing the Fit of a Vector Autoregressive Moving Average Model

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Some mixing properties of time series models

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ON THE SPECTRAL DENSITY MATRIX OF A PERIODIC ARMA PROCESS

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Q3876877

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Some results in periodic autoregression

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FORECASTING OF MULTIVARIATE PERIODIC AUTOREGRESSIVE MOVING-AVERAGE PROCESSES

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On modelling and diagnostic checking of vector periodic autoregressive time series models

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Testing for periodic autocorrelations in seasonal time series data

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Identifiers

zbMATH Open document ID

1300.62076

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DOI

10.1111/j.1467-9892.2011.00750.x

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2930878

@@ Property / cites work @@
+Large Sample Properties of Parameter Estimates for Periodic ARMA Models
+Normal rank
@@ Property / cites work @@
+ON THE INVERTIBILITY OF PERIODIC MOVING-AVERAGE MODELS
+Normal rank
@@ Property / cites work @@
+Spectral Factorization of Periodically Correlated MA(1) Processes
+Normal rank
@@ Property / cites work @@
+Time series: theory and methods.
@@ Property / cites work: Time series: theory and methods. / rank @@
+Normal rank
@@ Property / cites work @@
+Q3711570
@@ Property / cites work: Q3711570 / rank @@
+Normal rank
@@ Property / cites work @@
+Testing nonparametric and semiparametric hypotheses in vector stationary processes
+Normal rank
@@ Property / cites work @@
+Periodic Time Series Models
@@ Property / cites work: Periodic Time Series Models / rank @@
+Normal rank
@@ Property / cites work @@
+Central limit theorems for generalized<i>U</i>-statistics with applications in nonparametric specification
+Normal rank
@@ Property / cites work @@
+Q5613639
@@ Property / cites work: Q5613639 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5612941
@@ Property / cites work: Q5612941 / rank @@
+Normal rank
@@ Property / cites work @@
+Comparing nonparametric versus parametric regression fits
+Normal rank
@@ Property / cites work @@
+Testing periodicity in time series models -- A recommendation of bootstrap models
+Normal rank
@@ Property / cites work @@
+Periodically Correlated Random Sequences
@@ Property / cites work: Periodically Correlated Random Sequences / rank @@
+Normal rank
@@ Property / cites work @@
+The multiple hybrid bootstrap -- resampling multivariate linear processes
+Normal rank
@@ Property / cites work @@
+Time series with periodic structure
@@ Property / cites work: Time series with periodic structure / rank @@
+Normal rank
@@ Property / cites work @@
+Autoregressive-aided periodogram bootstrap for time series
+Normal rank
@@ Property / cites work @@
+Subsampling in testing autocovariance for periodically correlated time series
+Normal rank
@@ Property / cites work @@
+Recursive Prediction and Likelihood Evaluation for Periodic ARMA Models
+Normal rank
@@ Property / cites work @@
+PARSIMONIOUS PERIODIC TIME SERIES MODELING
@@ Property / cites work: PARSIMONIOUS PERIODIC TIME SERIES MODELING / rank @@
+Normal rank
@@ Property / cites work @@
+Parsimony, Model Adequacy and Periodic Correlation in Time Series Forecasting
+Normal rank
@@ Property / cites work @@
+DIAGNOSTIC CHECKING OF PERIODIC AUTOREGRESSION MODELS WITH APPLICATION
+Normal rank
@@ Property / cites work @@
+On periodic and multiple autoregressions
@@ Property / cites work: On periodic and multiple autoregressions / rank @@
+Normal rank
@@ Property / cites work @@
+Spectral Density Based Goodness‐of‐Fit Tests for Time Series Models
+Normal rank
@@ Property / cites work @@
+Testing the Fit of a Vector Autoregressive Moving Average Model
+Normal rank
@@ Property / cites work @@
+Some mixing properties of time series models
@@ Property / cites work: Some mixing properties of time series models / rank @@
+Normal rank
@@ Property / cites work @@
+ON THE SPECTRAL DENSITY MATRIX OF A PERIODIC ARMA PROCESS
+Normal rank
@@ Property / cites work @@
+Q3876877
@@ Property / cites work: Q3876877 / rank @@
+Normal rank
@@ Property / cites work @@
+Some results in periodic autoregression
@@ Property / cites work: Some results in periodic autoregression / rank @@
+Normal rank
@@ Property / cites work @@
+FORECASTING OF MULTIVARIATE PERIODIC AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
+Normal rank
@@ Property / cites work @@
+On modelling and diagnostic checking of vector periodic autoregressive time series models
+Normal rank
@@ Property / cites work @@
+Testing for periodic autocorrelations in seasonal time series data
+Normal rank