Generalised likelihood ratio tests for spectral density

DOI10.1093/BIOMET/91.1.195MaRDI QIDQ5456562zbMATH OpenOpenAlexFDO

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)

Recommendations

• Spectral Density Based Goodness‐of‐Fit Tests for Time Series Models
• Bootstrap‐assisted Goodness‐of‐fit Tests in the Frequency Domain
• Goodness‐of‐fit Test in Parametric Time Series Models
• scientific article; zbMATH DE number 599043
• A Note on a Specification Test for Time Series Models Based on Spectral Density Estimation

Cited in

(33)

• 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
• Generalized likelihood ratio test for varying-coefficient models with different smoothing variables
• scientific article; zbMATH DE number 599043 (Why is no real title available?)
• A local spectral approach for assessing time series model misspecification
• Nonparametric inference with generalized likelihood ratio tests (With comments and rejoinder)
• Comparing several parametric and nonparametric approaches to time series clustering: a simulation study
• Simultaneous confidence band and hypothesis test in generalised varying-coefficient models
• Inference for nonparametric parts in single-index varying-coefficient model
• Nonparametric spectral analysis with applications to seizure characterization using EEG time series
• Local Whittle likelihood estimators and tests for non-Gaussian stationary processes
• Construction of a criterion for testing hypothesis about covariance function of a stationary Gaussian stochastic process with unknown mean
• 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
• A frequency domain test for detecting nonstationary time series
• Multifrequency-Band Tests for White Noise Under Heteroscedasticity
• Model assessment for time series dynamics using copula spectral densities: a graphical tool
• Testing for the parametric parts in a single-index varying-coefficient model
• Testing for Long Memory Using Penalized Splines and Adaptive Neyman Methods
• 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
• A bootstrapped spectral test for adequacy in weak ARMA models
• Temporal clustering of time series via threshold autoregressive models: application to commodity prices
• An updated review of goodness-of-fit tests for regression models
• On Fan's adaptive Neyman tests for comparing two spectral densities
• Feature matching in time series modeling
• A spectral density test for whiteness
• A Note on Whittle's Likelihood

This page was built for publication: Generalised likelihood ratio tests for spectral density

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5456562)