Bootstrapping Frequency Domain Tests in Multivariate Time Series with an Application to Comparing Spectral Densities

DOI10.1111/J.1467-9868.2009.00709.XzbMath1248.62145OpenAlexW2127347002MaRDI 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

zbMATH Keywords

bootstrapperiodogrammultiple time seriesspectral density matrixnonparametric kernel estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Inference from stochastic processes and spectral analysis (62M15) Nonparametric statistical resampling methods (62G09)

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