A local spectral approach for assessing time series model misspecification

DOI10.1016/j.jmva.2008.06.010zbMath1169.62076OpenAlexW2015168594MaRDI QIDQ1002344

Scott H. Holan, Tucker S. McElroy

Publication date: 25 February 2009

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2008.06.010

zbMATH Keywords

goodness-of-fitspectral densityseasonal adjustmentunobserved componentspeak detectioncycle estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes and spectral analysis (62M15) Economic time series analysis (91B84) Asymptotic properties of parametric tests (62F05)

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