On Fan's adaptive Neyman tests for comparing two spectral densities

DOI10.1080/00949655.2012.667101zbMath1453.62640OpenAlexW2096324473MaRDI QIDQ5218889

Linyuan Li, Kewei Lü

Publication date: 6 March 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2012.667101

zbMATH Keywords

periodogramspectral densityadaptive Neyman testseasonal ARMA model

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes and spectral analysis (62M15)

Related Items (3)

On wavelet-based testing for serial correlation of unknown form using Fan's adaptive Neyman method ⋮ A computational bootstrap procedure to compare two dependent time series ⋮ Tests for the Equality of Two Processes' Spectral Densities with Unequal Lengths Using Wavelet Methods

Cites Work

• A limit theorem for the maximum of normalized sums of independent random variables
• Time series: theory and methods.
• Time-frequency clustering and discriminant analysis.
• Nonlinear time series. Nonparametric and parametric methods
• Testing equality of stationary autocovariances
• Test of Significance Based on Wavelet Thresholding and Neyman's Truncation
• TESTS FOR COMPARING TWO ESTIMATED SPECTRAL DENSITIES
• Goodness-of-Fit Tests for Parametric Regression Models

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