Comparison of stationary time series using distribution-free methods

DOI10.1007/978-3-642-57678-2_45zbMath1455.62177OpenAlexW2248098268MaRDI QIDQ3297970

Elizabeth Ann Maharaj

Publication date: 21 July 2020

Published in: COMPSTAT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-57678-2_45

zbMATH Keywords

autocorrelationsstationary time seriespartial autocorrelationsmoving blocks bootstrap

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

Cites Work

• On the asymptotic accuracy of Efron's bootstrap
• Bootstrap methods: another look at the jackknife
• A test for a difference between spectral peak frequencies.
• Subsampling for heteroskedastic time series
• Block length selection in the bootstrap for time series
• The jackknife and the bootstrap for general stationary observations
• General Considerations in the Analysis of Spectra
• Large-sample tests of homogeneity for time series models
• A Nonparametric Test for the Parallelism of Two First-Order Autoregressive Processes
• A significance test for classifying arma models
• Nonparametric Comparison of Cumulative Periodograms
• On blocking rules for the bootstrap with dependent data

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