Generalised likelihood ratio tests for spectral density
DOI10.1093/BIOMET/91.1.195zbMATH Open1132.62351OpenAlexW2163231703MaRDI QIDQ5456562FDOQ5456562
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
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spectral densityARMA modelperiodogramlocal likelihoodlocal least squaresgeneralised likelihood ratio test
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)
Cited In (32)
- Inference on coefficient function for varying-coefficient partially linear model
- Frequency domain generalized empirical likelihood method
- Tests for nonparametric parts on partially linear single index models
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- Generalized likelihood ratio test for varying-coefficient models with different smoothing variables
- Nonparametric inference with generalized likelihood ratio tests (With comments and rejoinder)
- Comparing several parametric and nonparametric approaches to time series clustering: a simulation study
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- Nonparametric spectral analysis with applications to seizure characterization using EEG time series
- Construction of a criterion for testing hypothesis about covariance function of a stationary Gaussian stochastic process with unknown mean
- Local Whittle likelihood estimators and tests for non-Gaussian stationary processes
- Semiparametric inference on partially linear single-index model
- Statistical inference for the index parameter in single-index models
- Inference on varying-coefficient partially linear regression model
- Multifrequency-Band Tests for White Noise Under Heteroscedasticity
- A frequency domain test for detecting nonstationary time series
- Model assessment for time series dynamics using copula spectral densities: a graphical tool
- Testing for Long Memory Using Penalized Splines and Adaptive Neyman Methods
- Testing for the parametric parts in a single-index varying-coefficient model
- Inference for Nonparametric Parts in Single-Index Varying-Coefficient Model
- Inferences on Nonparametric Component for Partially Linear Models
- Statistical inference on parametric part for partially linear single-index model
- Statistical testing of covariate effects in conditional copula models
- Goodness-of-fit tests for the spatial spectral density
- A loss function approach to model specification testing and its relative efficiency
- On Fan's adaptive Neyman tests for comparing two spectral densities
- Temporal clustering of time series via threshold autoregressive models: application to commodity prices
- A bootstrapped spectral test for adequacy in weak ARMA models
- An updated review of goodness-of-fit tests for regression models
- A spectral density test for whiteness
- Feature matching in time series modeling
- A Note on Whittle's Likelihood
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