A test for comparing two discrete stochastic dynamical systems under heteroskedasticity

DOI10.1007/S12591-011-0085-3zbMATH Open1257.62088OpenAlexW2080383435MaRDI QIDQ691309FDOQ691309

Authors: Gladys E. Salcedo, Pedro A. Morettin 

Publication date: 30 November 2012

Published in: Differential Equations and Dynamical Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s12591-011-0085-3

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• scientific article; zbMATH DE number 1852182

zbMATH Keywords

waveletsheterogeneityhypothesis testing\(L^p\)-mixingalesAR models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Non-Markovian processes: hypothesis testing (62M07) Random dynamical systems (37H99)

Cites Work

• Dynamic Linear Models with R
• Title not available (Why is that?)
• Ten Lectures on Wavelets
• Title not available (Why is that?)
• State space and hidden Markov models
• Large sample properties of parameter estimates for periodic ARMA models
• Clusters of time series
• Comparison of non-stationary time series in the frequency domain
• Nonlinear wavelet estimation of time-varying autoregressive processes
• Nonparametric Comparison of Cumulative Periodograms
• Inference in Autoregression under Heteroskedasticity
• Wavelet shrinkage for nonequispaced samples
• Time-domain estimation of time-varying linear systems
• Large sample properties of parameter least squares estimates for time‐varying arma models
• Wavelet based time-varying vector autoregressive modelling
• A test for a difference between spectral peak frequencies.
• Large-sample tests of homogeneity for time series models
• A Nonparametric Test for the Parallelism of Two First-Order Autoregressive Processes
• Title not available (Why is that?)
• COMPARING TIME-VARYING AUTOREGRESSIVE STRUCTURES OF LOCALLY STATIONARY PROCESSES
• USING WAVELETS TO COMPARE TIME SERIES PATTERNS

Uses Software

• dlm

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