Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Dette, Holger | - |
dc.contributor.author | Paparoditis, Efstathios | - |
dc.date.accessioned | 2009-01-13T07:50:26Z | - |
dc.date.available | 2009-01-13T07:50:26Z | - |
dc.date.issued | 2009-01-13T07:50:26Z | - |
dc.identifier.uri | http://hdl.handle.net/2003/25984 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-14170 | - |
dc.description.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. | en |
dc.language.iso | en | de |
dc.subject | Bootstrap | en |
dc.subject | Multiple time series | en |
dc.subject | Nonparametric kernel estimation | en |
dc.subject | Periodogram | en |
dc.subject | Spectral density matrix | en |
dc.subject.ddc | 004 | - |
dc.title | Bootstrapping frequency domain tests in multivariate time series with an applicaton to comparing spectral densities | en |
dc.type | Text | de |
dc.type.publicationtype | report | en |
dcterms.accessRights | open access | - |
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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