A new frequency domain approach of testing for covariance stationarity and for periodic stationarity in multivariate linear processes

DOI10.1111/j.1467-9892.2011.00750.xzbMath1300.62076OpenAlexW1566154324MaRDI QIDQ2930878

Carsten Jentsch

Publication date: 20 November 2014

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2011.00750.x

zbMATH Keywords

hypothesis testinglinear processmultivariate time seriesspectral density matrixperiodic time serieshybrid bootstraptesting for stationaritykernel spectral density estimatestesting for periodic stationarity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Inference from stochastic processes and spectral analysis (62M15) Non-Markovian processes: hypothesis testing (62M07)

Related Items (5)

A computational technique to classify several fractional Brownian motion processes ⋮ A computational method to compare spectral densities of independent periodically correlated time series ⋮ A Spectral Domain Test for Stationarity of Spatio‐Temporal Data ⋮ A test for second order stationarity of a multivariate time series ⋮ Testing equality of spectral densities using randomization techniques

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