NON-PARAMETRIC APPROACH IN TIME SERIES ANALYSIS

DOI10.1111/j.1467-9892.1993.tb00153.xzbMath0780.62044OpenAlexW2059649006MaRDI QIDQ3141190

Masanobu Taniguchi, Masao Kondo

Publication date: 2 February 1994

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1993.tb00153.x

zbMATH Keywords

time seriesasymptotic relative efficiencyspectral densityGaussian stationary processasymptotic powercontiguous alternativesefficacyBurg's entropytesting for independencenonparametric spectral estimatorexponential spectral alternatives

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15)

Related Items (7)

Bootstrapping Frequency Domain Tests in Multivariate Time Series with an Application to Comparing Spectral Densities ⋮ A note on testing hypotheses for stationary processes in the frequency domain ⋮ A measure of information and its applications to test for randomness against ARMA alternatives and to goodness-of-fit test ⋮ Testing nonparametric and semiparametric hypotheses in vector stationary processes ⋮ Testing non-parametric hypotheses for stationary processes by estimating minimal distances ⋮ On nonparametric and semiparametric testing for multivariate linear time series ⋮ Testing equality of spectral densities using randomization techniques

Cites Work

• Linear serial rank tests for randomness against ARMA alternatives
• Parameter estimation and hypothesis testing in spectral analysis of stationary time series. Transl. from the Russian by Samuel Kotz
• EXACT TESTS FOR SERIAL CORRELATION
• On estimation of the integrals of certain functions of spectral density
• The Estimation of the Prediction Error Variance
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