On nonparametric and semiparametric testing for multivariate linear time series

DOI10.1214/08-AOS610zbMath1369.62246arXiv0909.0433OpenAlexW2007690683MaRDI QIDQ1043750

Yoshihiro Yajima, Yasumasa Matsuda

Publication date: 9 December 2009

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0909.0433

zbMATH Keywords

spectral analysismultivariate time seriesnonparametric testingsemiparametric testing

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Non-Markovian processes: hypothesis testing (62M07)

Related Items (2)

Bootstrapping Frequency Domain Tests in Multivariate Time Series with an Application to Comparing Spectral Densities ⋮ Chi‐squared portmanteau tests for structural VARMA models with uncorrelated errors

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