On wavelet-based testing for serial correlation of unknown form using Fan's adaptive Neyman method

DOI10.1016/J.CSDA.2013.10.003zbMath1471.62115OpenAlexW2070130148MaRDI QIDQ1615242

Shan Yao, Linyuan Li, Pierre Duchesne

Publication date: 2 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2013.10.003

zbMATH Keywords

time seriesserial correlationspectral densityautocorrelationsadaptive Neyman testconsistent testingwavelet method

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (3)

Tests for the Equality of Two Processes' Spectral Densities with Unequal Lengths Using Wavelet Methods ⋮ Multifrequency-Band Tests for White Noise Under Heteroscedasticity ⋮ On Diagnostic Checking Autoregressive Conditional Duration Models with Wavelet-Based Spectral Density Estimators

Uses Software

• wmtsa

Cites Work

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