A frequency-domain test for multivariate white noise
From MaRDI portal
Publication:6537377
DOI10.1007/s42519-024-00374-7MaRDI QIDQ6537377
Publication date: 14 May 2024
Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)
Inference from stochastic processes (62Mxx) Multivariate analysis (62Hxx) Nonparametric inference (62Gxx)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Quantile spectral processes: asymptotic analysis and inference
- Time series: Theory and methods
- Hypothesis testing for high-dimensional time series via self-normalization
- A test for second-order stationarity of a time series based on the maximum of Anderson-Darling statistics
- On testing for high-dimensional white noise
- Robust adaptive rate-optimal testing for the white noise hypothesis
- The Multivariate Portmanteau Statistic
- Modeling Multiple Times Series with Applications
- Testing That a Dependent Process Is Uncorrelated
- Asymptotic Statistics
- Modelling exchange rate returns: which flexible distribution to use?
- Detection of Multiple Structural Breaks in Multivariate Time Series
- Testing for high-dimensional white noise using maximum cross-correlations
- Testing non-parametric hypotheses for stationary processes by estimating minimal distances
- Tests for serial correlation in regression analysis based on the periodogram of least-squares residuals
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
- Time Series
- A copula spectral test for pairwise time reversibility
- Estimating the Spectral Density at Frequencies Near Zero
- White noise testing using wavelets
This page was built for publication: A frequency-domain test for multivariate white noise
