A test for comparing two discrete stochastic dynamical systems under heteroskedasticity

DOI10.1007/s12591-011-0085-3zbMath1257.62088OpenAlexW2080383435MaRDI QIDQ691309

Gladys E. Salcedo, Pedro Alberto Morettin

Publication date: 30 November 2012

Published in: Differential Equations and Dynamical Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s12591-011-0085-3

zbMATH Keywords

waveletshypothesis testingheterogeneity\(L^p\)-mixingalesAR models

Mathematics Subject Classification ID

Uses Software

• dlm

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Wavelet based time-varying vector autoregressive modelling
• A test for a difference between spectral peak frequencies.
• Clusters of time series
• Comparison of non-stationary time series in the frequency domain
• Wavelet shrinkage for nonequispaced samples
• Nonlinear wavelet estimation of time-varying autoregressive processes
• Large Sample Properties of Parameter Estimates for Periodic ARMA Models
• Large-sample tests of homogeneity for time series models
• Inference in Autoregression under Heteroskedasticity
• Ten Lectures on Wavelets
• A Nonparametric Test for the Parallelism of Two First-Order Autoregressive Processes
• Time-domain estimation of time-varying linear systems
• Large sample properties of parameter least squares estimates for time‐varying arma models
• Nonparametric Comparison of Cumulative Periodograms
• Dynamic Linear Models with R
• COMPARING TIME-VARYING AUTOREGRESSIVE STRUCTURES OF LOCALLY STATIONARY PROCESSES
• USING WAVELETS TO COMPARE TIME SERIES PATTERNS

This page was built for publication: A test for comparing two discrete stochastic dynamical systems under heteroskedasticity