Periodically correlated modeling by means of the periodograms asymptotic distributions

DOI10.1007/S00362-016-0748-9MaRDI QIDQ1685304zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3765004 (Why is no real title available?)
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• scientific article; zbMATH DE number 720689 (Why is no real title available?)
• scientific article; zbMATH DE number 3336457 (Why is no real title available?)
• A Direct Approach to False Discovery Rates
• Bibliography on cyclostationarity
• Cyclostationarity: half a century of research
• Introducing model uncertainty by moving blocks bootstrap
• Numerical linear algebra
• On the transformation of raw time series data: A review
• Periodic integration: Further results on model selection and forecasting
• Periodically Correlated Random Sequences
• Periodograms asymptotic distributions in periodically correlated processes and multivariate stationary processes: An alternative approach
• Subsampling
• Time series: theory and methods.

Cited in

(15)

• A new method to compare the spectral densities of two independent periodically correlated time series
• CYCLOCOPULA TECHNIQUE TO STUDY THE RELATIONSHIP BETWEEN TWO CYCLOSTATIONARY TIME SERIES WITH FRACTIONAL BROWNIAN MOTION ERRORS
• Periodic autoregressive models with closed skew-normal innovations
• A new approach for testing periodicity
• Prediction for the processes with almost cyclostationary structure
• Global testing against sparse alternatives in time-frequency analysis
• ASYMPTOTIC ANALYSIS ABOUT THE PERIODOGRAM OF A GENERAL CLASS OF TIME SERIES MODELS WITH SPECTRAL SUPPORTSON LINES NOT PARALLEL TO THE MAIN DIAGONAL
• PERIODIC CORRELATION IN STRATOSPHERIC OZONE DATA
• Evaluating the relationship between two periodically correlated processes with Mandelbrot-Van Ness fractional Brownian motion errors using periodic copula
• 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

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Uses Software

• fdrtool

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