A Note on a Specification Test for Time Series Models Based on Spectral Density Estimation

DOI10.1111/1467-9469.00343zbMATH Open1035.62095OpenAlexW1974227099MaRDI QIDQ4455954FDOQ4455954

Authors Ingrid Spreckesen, Holger Dette

Publication date 16 March 2004

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2003/5042

zbMATH Keywords

asymptotic normalityasymptotic powerperiodogramPaparoditis statistics

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric hypothesis testing (62G10) Inference from stochastic processes and spectral analysis (62M15)

Recommendations

• Spectral Density Based Goodness‐of‐Fit Tests for Time Series Models
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Cites work

• scientific article; zbMATH DE number 5713588 (Why is no real title available?)
• A note on a specification test of independence.
• Linearity testing using local polynomial approximation
• Spectral Density Based Goodness‐of‐Fit Tests for Time Series Models
• Time series: theory and methods.

Cited in

(11)

• Model checking for parametric regressions with response missing at random
• Testing non-parametric hypotheses for stationary processes by estimating minimal distances
• Bootstrapping frequency domain tests in multivariate time series with an application to comparing spectral densities
• A simple test for white noise in functional time series
• scientific article; zbMATH DE number 4030770 (Why is no real title available?)
• Nonparametric specification for non-stationary time series regression
• A note on testing hypotheses for stationary processes in the frequency domain
• Generalised likelihood ratio tests for spectral density
• Gauss inequalities on ordered linear spaces
• Testing semiparametric hypotheses in locally stationary processes
• scientific article; zbMATH DE number 599043 (Why is no real title available?)

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