Simultaneous Statistical Inference in Dynamic Factor Models
DOI10.1007/978-3-319-28725-6_3zbMath1366.62108OpenAlexW2117358426MaRDI QIDQ5280122
Thorsten Dickhaus, Markus Pauly
Publication date: 20 July 2017
Published in: Time Series Analysis and Forecasting (Search for Journal in Brave)
Full work available at URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2012-033.pdf
resamplinglikelihood ratio statisticWald statisticfamily-wise error ratemultiple hypothesis testingfalse discovery ratetime series regressionmultivariate chi-square distributionempirical Fourier transform
Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Hypothesis testing in multivariate analysis (62H15) Central limit and other weak theorems (60F05)
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