Authors: | Dette, Holger Paparoditis, Efstathios |
Title: | Bootstrapping frequency domain tests in multivariate time series with an applicaton to comparing spectral densities |
Language (ISO): | en |
Abstract: | We propose a general bootstrap procedure to approximate the null distribution of nonparametric frequency domain tests about the spectral density matrix of a multivariate time series. Under a set of easy to verify conditions, we establish asymptotic validity of the proposed bootstrap procedure. We apply a version of this procedure together with a new statistic in order to test the hypothesis that the spectral densities of not necessarily independent time series are equal. The test statistic proposed is based on a L2-distance between the nonparametrically estimated individual spectral densities and an overall, 'pooled' spectral density, the later being obtained using the whole set of m time series considered. The effects of the dependence between the time series on the power behavior of the test are investigated. Some simulations are presented and a real-life data example is discussed. |
Subject Headings: | Bootstrap Multiple time series Nonparametric kernel estimation Periodogram Spectral density matrix |
URI: | http://hdl.handle.net/2003/25984 http://dx.doi.org/10.17877/DE290R-14170 |
Issue Date: | 2009-01-13T07:50:26Z |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
Files in This Item:
File | Description | Size | Format | |
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TR_28-dette.pdf | DNB | 344.87 kB | Adobe PDF | View/Open |
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