Testing Semiparametric Hypotheses in Locally Stationary Processes

DOI10.1111/j.1467-9469.2012.00819.xzbMath1364.62108MaRDI 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

bootstrap; semiparametric models; goodness-of-fit tests; non-stationary processes; locally stationary processes; spectral density; integrated periodogram; \(L_{2}\)-distance

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62P05: Applications of statistics to actuarial sciences and financial mathematics

60G10: Stationary stochastic processes

62M15: Inference from stochastic processes and spectral analysis

Related Items

Data-Adaptive Estimation of Time-Varying Spectral Densities, Testing for Stationarity in Multivariate Locally Stationary Processes

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