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

DOI10.1111/1467-9469.00184zbMATH Open0940.62084OpenAlexW2164145443MaRDI QIDQ4956071FDOQ4956071

Authors: Efstathios Paparoditis 

Publication date: 24 May 2000

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

Full work available at URL: https://doi.org/10.1111/1467-9469.00184

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zbMATH Keywords

asymptotic powerkernel smoothinglocal alternativesspectral densitygoodness-of-fitWhittle estimator

Mathematics Subject Classification ID

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

Cited In (54)

• Multifrequency-Band Tests for White Noise Under Heteroscedasticity
• Testing for the Martingale Difference Hypothesis in Multivariate Time Series Models
• On bootstrapping \(L_2\)-type statistics in density testing
• Tests of bias in log-periodogram regression
• Gauss inequalities on ordered linear spaces
• Spectral domain diagnostics for testing model proximity and disparity in time series data
• On testing for serial correlation of unknown form using wavelet thresholding
• Bootstrap specification tests for linear covariance stationary processes
• Title not available (Why is that?)
• Goodness-of-fit testing for time series models via distance covariance
• Testing equality of spectral densities using randomization techniques
• Generalized spectral tests for the martingale difference hypothesis
• A simple test for white noise in functional time series
• A local spectral approach for assessing time series model misspecification
• ON TESTING FOR SERIAL CORRELATION WITH A WAVELET-BASED SPECTRAL DENSITY ESTIMATOR IN MULTIVARIATE TIME SERIES
• Nonparametric inference with generalized likelihood ratio tests (With comments and rejoinder)
• Testing the Fit of a Vector Autoregressive Moving Average Model
• Goodness of fit for lattice processes
• Generalised likelihood ratio tests for spectral density
• Spectra of bivariate \(\mathrm{VAR}(p)\) models
• Goodness-of-fit tests for Markov Switching VAR models using spectral analysis
• Local Whittle likelihood estimators and tests for non-Gaussian stationary processes
• Testing semiparametric hypotheses in locally stationary processes
• Chi-square type goodness-of-fit tests for stationary Gaussian processes
• Testing non-parametric hypotheses for stationary processes by estimating minimal distances
• TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS
• A frequency domain empirical likelihood for short- and long-range dependence
• A Note on a Specification Test for Time Series Models Based on Spectral Density Estimation
• Testing nonparametric and semiparametric hypotheses in vector stationary processes
• Model assessment for time series dynamics using copula spectral densities: a graphical tool
• Consistency of the frequency domain bootstrap for differentiable functionals
• A new frequency domain approach of testing for covariance stationarity and for periodic stationarity in multivariate linear processes
• Goodness-of-fit tests for continuous-time stationary processes
• Diagnostic checking for the adequacy of nonlinear time series models
• Testing equality of spectral density operators for functional processes
• On nonparametric and semiparametric testing for multivariate linear time series
• Power Transformations to Induce Normality and their Applications
• Goodness-of-fit tests for the spatial spectral density
• Local Whittle likelihood estimators and tests for spatial lattice data
• A note on testing hypotheses for stationary processes in the frequency domain
• Testing discrete-valued time series for whiteness
• Spectral estimation of Hawkes processes from count data
• Distribution free goodness-of-fit tests for linear processes
• A bootstrapped spectral test for adequacy in weak ARMA models
• On consistent testing for serial correlation of unknown form in vector time series models.
• An updated review of goodness-of-fit tests for regression models
• An omnibus test for the time series model AR(1).
• Specification tests for lattice processes
• On consistent testing for serial correlation in seasonal time series models
• Multi-scale tests for serial correlation
• Nonparametric specification for non-stationary time series regression
• Density testing in a contaminated sample
• Tests for Harmonic Components in the Spectra of Categorical Time Series
• Nonparametric change point detection in multivariate piecewise stationary time series

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