A Note on a Specification Test for Time Series Models Based on Spectral Density Estimation

DOI10.1111/1467-9469.00343zbMath1035.62095OpenAlexW1974227099MaRDI QIDQ4455954

Ingrid Spreckesen, Dette, Holger

Publication date: 16 March 2004

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2003/5042

zbMATH Keywords

asymptotic normalityperiodogramasymptotic powerPaparoditis statistics

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric hypothesis testing (62G10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (8)

Bootstrapping Frequency Domain Tests in Multivariate Time Series with an Application to Comparing Spectral Densities ⋮ A Simple Test for White Noise in Functional Time Series ⋮ A note on testing hypotheses for stationary processes in the frequency domain ⋮ Nonparametric specification for non-stationary time series regression ⋮ Gauss inequalities on ordered linear spaces ⋮ Testing non-parametric hypotheses for stationary processes by estimating minimal distances ⋮ Testing Semiparametric Hypotheses in Locally Stationary Processes ⋮ Model checking for parametric regressions with response missing at random

Cites Work

• Unnamed Item
• Time series: theory and methods.
• Linearity testing using local polynomial approximation
• Spectral Density Based Goodness‐of‐Fit Tests for Time Series Models
• A note on a specification test of independence.

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