A bootstrap-assisted spectral test of white noise under unknown dependence
From MaRDI portal
Publication:737899
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Nonparametric statistical resampling methods (62G09) Inference from stochastic processes and spectral analysis (62M15)
Recommendations
Cites work
- scientific article; zbMATH DE number 3115405 (Why is no real title available?)
- scientific article; zbMATH DE number 3131469 (Why is no real title available?)
- scientific article; zbMATH DE number 3963031 (Why is no real title available?)
- scientific article; zbMATH DE number 48093 (Why is no real title available?)
- scientific article; zbMATH DE number 3502569 (Why is no real title available?)
- scientific article; zbMATH DE number 3591256 (Why is no real title available?)
- scientific article; zbMATH DE number 1168350 (Why is no real title available?)
- scientific article; zbMATH DE number 774870 (Why is no real title available?)
- scientific article; zbMATH DE number 3245885 (Why is no real title available?)
- scientific article; zbMATH DE number 3374705 (Why is no real title available?)
- An automatic portmanteau test for serial correlation
- An introduction to bispectral analysis and bilinear time series models
- Asymptotic spectral theory for nonlinear time series
- Automatic Lag Selection in Covariance Matrix Estimation
- Block length selection in the bootstrap for time series
- Bootstrap Approximations in Model Checks for Regression
- Bootstrap and wild bootstrap for high dimensional linear models
- Bootstrap procedures under some non-i.i.d. models
- Bootstrapping the Box-Pierce \(Q\) test: a robust test of uncorrelatedness
- Central limit theorems for time series regression
- Consistent specification tests for semiparametric/nonparametric models based on series estimation methods
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- Generalized autoregressive conditional heteroscedasticity
- Generalized spectral tests for the martingale difference hypothesis
- Goodness of fit tests for spectral distributions
- Inference For Autocorrelations Under Weak Assumptions
- Jackknife, bootstrap and other resampling methods in regression analysis
- Least absolute deviation estimation for all-pass time series models
- Limit theorems for iterated random functions
- NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
- Nonlinear system theory: Another look at dependence
- On blocking rules for the bootstrap with dependent data
- On linear processes with dependent innovations
- Spectral tests of the martingale hypothesis under conditional heteroscedasticity
- Strong invariance principles for dependent random variables
- Subsampling
- TESTING FOR ZERO AUTOCORRELATION IN THE PRESENCE OF STATISTICAL DEPENDENCE
- Testing That a Dependent Process Is Uncorrelated
- Weak convergence and empirical processes. With applications to statistics
Cited in
(24)- Multifrequency-Band Tests for White Noise Under Heteroscedasticity
- Testing for the Martingale Difference Hypothesis in Multivariate Time Series Models
- Bootstrap Inference in Regressions with Estimated Factors and Serial Correlation
- Bootstrapping bispectra: an application to testing for departure from Gaussianity of stationary signals
- TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS
- Testing the martingale difference hypothesis in high dimension
- A white noise test under weak conditions
- Robust adaptive rate-optimal testing for the white noise hypothesis
- A WILD BOOTSTRAP FOR DEPENDENT DATA
- White noise testing and model diagnostic checking for functional time series
- A simple test for white noise in functional time series
- Inference for local distributions at high sampling frequencies: a bootstrap approach
- Parametric inference in stationary time series models with dependent errors
- Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors
- Estimating the variance of a combined forecast: bootstrap-based approach
- Permutation testing for dependence in time series
- Inference in VARs with conditional heteroskedasticity of unknown form
- Dependent wild bootstrap for the empirical process
- A spectral density test for whiteness
- Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility
- Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models
- A bootstrapped spectral test for adequacy in weak ARMA models
- Estimating and testing for smooth structural changes in moment condition models
- A max-correlation white noise test for weakly dependent time series
This page was built for publication: A bootstrap-assisted spectral test of white noise under unknown dependence
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q737899)
