Moment tests for window length selection in singular spectrum analysis of short- and long-memory processes

DOI10.1111/j.1467-9892.2012.00820.xzbMath1273.62200OpenAlexW1926647722MaRDI QIDQ2852487

M.D. Atikur Rahman Khan, D. S. Poskitt

Publication date: 9 October 2013

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

Full work available at URL: http://business.monash.edu/econometrics-and-business-statistics/research/publications/ebs/wp22-11.pdf

zbMATH Keywords

convergenceasymptotic distributionWhitney embedding theoremconditional moment testnonsingular processportmanteau type test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)

Related Items (4)

A new approach for the vector forecast algorithm in singular spectrum analysis ⋮ On Singular Spectrum Analysis And Stepwise Time Series Reconstruction ⋮ A Note on Window Length Selection in Singular Spectrum Analysis ⋮ Dependence measures for model selection in singular spectrum analysis

Uses Software

• longmemo

Cites Work

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• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• On the choice of parameters in singular spectrum analysis and related subspace-based methods
• Time series: theory and methods.
• Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
• Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes
• Some Recent Developments in Time Series Analysis, Correspondent Paper
• On Limit Theorems for Quadratic Functions of Discrete Time Series

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