Generalised likelihood ratio tests for spectral density

DOI10.1093/BIOMET/91.1.195MaRDI QIDQ5456562zbMATHOpenAlexFDO

Authors Wenyang Zhang, Jianqing Fan

Publication date 8 April 2008

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/91.1.195

zbMATH Keywords

spectral densityARMA modelperiodogramlocal likelihoodlocal least squaresgeneralised likelihood ratio test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Inference from stochastic processes and spectral analysis (62M15)

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Cited in

(33)

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• Nonparametric spectral analysis with applications to seizure characterization using EEG time series
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• Statistical inference on parametric part for partially linear single-index model
• Simultaneous confidence band and hypothesis test in generalised varying-coefficient models
• Statistical inference for the index parameter in single-index models
• Comparing several parametric and nonparametric approaches to time series clustering: a simulation study
• Testing for the parametric parts in a single-index varying-coefficient model
• An updated review of goodness-of-fit tests for regression models
• Frequency domain generalized empirical likelihood method
• Construction of a criterion for testing hypothesis about covariance function of a stationary Gaussian stochastic process with unknown mean
• Generalized likelihood ratio test for varying-coefficient models with different smoothing variables
• A loss function approach to model specification testing and its relative efficiency
• Inferences on Nonparametric Component for Partially Linear Models
• Nonparametric inference with generalized likelihood ratio tests (With comments and rejoinder)
• Inference for nonparametric parts in single-index varying-coefficient model
• Tests for nonparametric parts on partially linear single index models
• Local Whittle likelihood estimators and tests for non-Gaussian stationary processes
• Statistical testing of covariate effects in conditional copula models
• On Fan's adaptive Neyman tests for comparing two spectral densities
• Model assessment for time series dynamics using copula spectral densities: a graphical tool
• A Note on Whittle's Likelihood
• Goodness-of-fit tests for the spatial spectral density
• Testing for Long Memory Using Penalized Splines and Adaptive Neyman Methods
• A spectral density test for whiteness
• A local spectral approach for assessing time series model misspecification
• Inference on varying-coefficient partially linear regression model
• A bootstrapped spectral test for adequacy in weak ARMA models
• Temporal clustering of time series via threshold autoregressive models: application to commodity prices
• scientific article; zbMATH DE number 599043 (Why is no real title available?)
• Semiparametric inference on partially linear single-index model

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