Bootstrapping Frequency Domain Tests in Multivariate Time Series with an Application to Comparing Spectral Densities
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Publication:2920284
DOI10.1111/j.1467-9868.2009.00709.xzbMath1248.62145MaRDI QIDQ2920284
Efstathios Paparoditis, Dette, Holger
Publication date: 16 October 2012
Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10419/36587
bootstrap; periodogram; multiple time series; spectral density matrix; nonparametric kernel estimation
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62H15: Hypothesis testing in multivariate analysis
62M15: Inference from stochastic processes and spectral analysis
62G09: Nonparametric statistical resampling methods
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