Testing non-parametric hypotheses for stationary processes by estimating minimal distances

DOI10.1111/j.1467-9892.2010.00703.xzbMath1294.62215OpenAlexW1567722996MaRDI QIDQ5495691

Tatjana Kinsvater, Mathias Vetter, Dette, Holger

Publication date: 6 August 2014

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2003/27161

zbMATH Keywords

goodness-of-fit testsstationary processspectral densityintegrated periodogram\(L^{2}\)-distance

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15)

Related Items

A computational technique to classify several fractional Brownian motion processes ⋮ A computational method to compare spectral densities of independent periodically correlated time series ⋮ Tests for comparing time‐invariant and time‐varying spectra based on the Anderson–Darling statistic ⋮ The bootstrap for testing the equality of two multivariate time series with an application to financial markets ⋮ A copula spectral test for pairwise time reversibility ⋮ A Simple Test for White Noise in Functional Time Series ⋮ Comparing spectral densities of stationary time series with unequal sample sizes

Cites Work

• Unnamed Item
• Unnamed Item
• Goodness of fit tests for spectral distributions
• A central limit theorem for \(m\)-dependent random variables
• Empirical spectral processes and their applications to time series analysis
• Time series: theory and methods.
• Some higher-order theory for a consistent non-parametric model specification test
• A test for randomness against ARMA alternatives.
• Nonparametric approach for non-Gaussian vector stationary processes
• A measure of information and its applications to test for randomness against ARMA alternatives and to goodness-of-fit test
• Testing nonparametric and semiparametric hypotheses in vector stationary processes
• Bootstrapping Frequency Domain Tests in Multivariate Time Series with an Application to Comparing Spectral Densities
• NON-PARAMETRIC APPROACH IN TIME SERIES ANALYSIS
• TESTS FOR COMPARING TWO ESTIMATED SPECTRAL DENSITIES
• ON THE ASYMPTOTIC DISTRIBUTION OF BARTLETT'S U_p-STATISTIC
• Discrimination and Clustering for Multivariate Time Series
• On a measure of lack of fit in time series models
• DISCRIMINANT ANALYSIS FOR STATIONARY VECTOR TIME SERIES
• A proposal for a residual autocorrelation test in linear models
• A Note on a Specification Test for Time Series Models Based on Spectral Density Estimation
• A Powerful Portmanteau Test of Lack of Fit for Time Series
• On testing for separable correlations of multivariate time series
• Nonparametric Comparison of Cumulative Periodograms
• Bootstrap‐assisted Goodness‐of‐fit Tests in the Frequency Domain
• Spectral Density Based Goodness‐of‐Fit Tests for Time Series Models
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models