Autor(en): | Dette, Holger Paparoditis, Efstathios |
Titel: | Testing equality of spectral densities |
Sprache (ISO): | en |
Zusammenfassung: | We develop a test of the hypothesis that the spectral densities of a number m, m ≥ 2, not necessarily independent time series are equal. The test proposed is based on an appropriate L 2 -distance measure between the nonpara- metrically estimated individual spectral densities and an overall, ’pooled’ spectral density, the later being obtained using the whole set of m time series considered. The limiting distribution of the test statistic under the null hypothesis of equal spectral densities is derived and a novel frequency domain bootstrap method is presented in order to approximate more accurately this distribution. The as- ymptotic distribution of the test and its power properties for fixed alternatives are investigated. Some simulations are presented and a real-life data example is discussed. Primary 62M10, 62M15; secondary 62G09 |
Schlagwörter: | Bootstrap Multiple time series Nonparametric kernel Periodogram Spectral density matrix |
URI: | http://hdl.handle.net/2003/24798 http://dx.doi.org/10.17877/DE290R-14177 |
Erscheinungsdatum: | 2007-10-25T12:00:40Z |
Enthalten in den Sammlungen: | Sonderforschungsbereich (SFB) 475 |
Dateien zu dieser Ressource:
Datei | Beschreibung | Größe | Format | |
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TR_29-Dette.pdf | DNB | 342.55 kB | Adobe PDF | Öffnen/Anzeigen |
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