Generalised likelihood ratio tests for spectral density

DOI10.1093/biomet/91.1.195zbMath1132.62351MaRDI QIDQ5456562

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

periodogram; spectral density; ARMA model; local likelihood; local least squares; generalised likelihood ratio test

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M15: Inference from stochastic processes and spectral analysis

62G09: Nonparametric statistical resampling methods

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