Testing Semiparametric Hypotheses in Locally Stationary Processes

DOI10.1111/J.1467-9469.2012.00819.XzbMath1364.62108OpenAlexW2126202774MaRDI QIDQ2852620

Mathias Vetter, Dette, Holger, Philip Preuss

Publication date: 9 October 2013

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2003/27663

zbMATH Keywords

bootstrapsemiparametric modelsgoodness-of-fit testsnon-stationary processeslocally stationary processesspectral densityintegrated periodogram\(L_{2}\)-distance

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (3)

Testing for Stationarity in Multivariate Locally Stationary Processes ⋮ Time series clustering using the total variation distance with applications in oceanography ⋮ Data-Adaptive Estimation of Time-Varying Spectral Densities

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