Periodically correlated modeling by means of the periodograms asymptotic distributions

DOI10.1007/S00362-016-0748-9zbMATH Open1416.62518OpenAlexW2262102522MaRDI QIDQ1685304FDOQ1685304

Authors: 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

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zbMATH Keywords

multiple testingperiodically correlated time seriesperiodogramperiodograms asymptotic distributions

Mathematics Subject Classification ID

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

Cites Work

• Time series: theory and methods.
• Subsampling
• Title not available (Why is that?)
• A Direct Approach to False Discovery Rates
• Title not available (Why is that?)
• Title not available (Why is that?)
• Introducing model uncertainty by moving blocks bootstrap
• Cyclostationarity: half a century of research
• Periodically Correlated Random Sequences
• Bibliography on cyclostationarity
• Periodograms asymptotic distributions in periodically correlated processes and multivariate stationary processes: An alternative approach
• Title not available (Why is that?)
• Periodic integration: Further results on model selection and forecasting
• Numerical linear algebra
• On the transformation of raw time series data: A review

Cited In (15)

• CYCLOCOPULA TECHNIQUE TO STUDY THE RELATIONSHIP BETWEEN TWO CYCLOSTATIONARY TIME SERIES WITH FRACTIONAL BROWNIAN MOTION ERRORS
• A new method to compare the spectral densities of two independent periodically correlated time series
• Periodic autoregressive models with closed skew-normal innovations
• A new approach for testing periodicity
• Prediction for the processes with almost cyclostationary structure
• ASYMPTOTIC ANALYSIS ABOUT THE PERIODOGRAM OF A GENERAL CLASS OF TIME SERIES MODELS WITH SPECTRAL SUPPORTSON LINES NOT PARALLEL TO THE MAIN DIAGONAL
• Global testing against sparse alternatives in time-frequency analysis
• Evaluating the relationship between two periodically correlated processes with Mandelbrot-Van Ness fractional Brownian motion errors using periodic copula
• PERIODIC CORRELATION IN STRATOSPHERIC OZONE DATA
• A computational method to compare spectral densities of independent periodically correlated time series
• On the estimation problem of periodic autoregressive time series: symmetric and asymmetric innovations
• Periodograms asymptotic distributions in periodically correlated processes and multivariate stationary processes: An alternative approach
• Investigation of periodicity for dependent observations
• A new method to detect periodically correlated structure
• Testing the difference between spectral densities of two independent periodically correlated (cyclostationary) time series models

Uses Software

• fdrtool

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