Periodically correlated modeling by means of the periodograms asymptotic distributions

DOI10.1007/S00362-016-0748-9zbMath1416.62518OpenAlexW2262102522MaRDI QIDQ1685304

Peng Zhang

Publication date: 13 December 2017

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-016-0748-9

zbMATH Keywords

periodogrammultiple testingperiodically correlated time seriesperiodograms asymptotic distributions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Paired and multiple comparisons; multiple testing (62J15)

Related Items (10)

ASYMPTOTIC ANALYSIS ABOUT THE PERIODOGRAM OF A GENERAL CLASS OF TIME SERIES MODELS WITH SPECTRAL SUPPORTSON LINES NOT PARALLEL TO THE MAIN DIAGONAL ⋮ Prediction for the processes with almost cyclostationary structure ⋮ Evaluating the relationship between two periodically correlated processes with Mandelbrot-Van Ness fractional Brownian motion errors using periodic copula ⋮ Testing the difference between spectral densities of two independent periodically correlated (cyclostationary) time series models ⋮ A computational method to compare spectral densities of independent periodically correlated time series ⋮ CYCLOCOPULA TECHNIQUE TO STUDY THE RELATIONSHIP BETWEEN TWO CYCLOSTATIONARY TIME SERIES WITH FRACTIONAL BROWNIAN MOTION ERRORS ⋮ On the estimation problem of periodic autoregressive time series: symmetric and asymmetric innovations ⋮ A new method to detect periodically correlated structure ⋮ A new method to compare the spectral densities of two independent periodically correlated time series ⋮ Periodic autoregressive models with closed skew-normal innovations

Uses Software

• fdrtool

Cites Work

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• Introducing model uncertainty by moving blocks bootstrap
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• Bibliography on cyclostationarity
• Cyclostationarity: half a century of research
• Time series: theory and methods.
• Subsampling
• Periodic integration: Further results on model selection and forecasting
• On the transformation of raw time series data: A review
• A Direct Approach to False Discovery Rates
• Periodically Correlated Random Sequences

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