Empirical spectral processes for stationary state space models

DOI10.1016/J.SPA.2022.10.008OpenAlexW4307568372MaRDI QIDQ2105074FDOQ2105074

Authors: Vicky Fasen-Hartmann, Celeste Mayer 

Publication date: 8 December 2022

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2202.12589

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• scientific article; zbMATH DE number 1944036

zbMATH Keywords

state space modelgoodness of fit testempirical spectral processGrenander-Rosenblatt testMCARMA processCramér-von Mises test

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes and spectral analysis (62M15) Functional limit theorems; invariance principles (60F17) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (2)

• Empirical Bayes identification of stationary processes and approximation of Toeplitz spectra
• Empirical spectral processes for stationary state space models

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