Authors: Dette, Holger
Hildebrandt, Thimo
Title: A note on testing hypotheses for stationary processes in the frequency domain
Language (ISO): en
Abstract: In a recent paper Eichler (2008) considered a class of non- and semiparametric hypotheses in multivariate stationary processes, which are characterized by a functional of the spectral density matrix. The corresponding statistics are obtained using kernel estimates for the spectral distribution and are asymptotically normal distributed under the null hypothesis and local alternatives. In this paper we derive the asymptotic properties of these test statistics under fixed alternatives. In particular we show also weak convergence but with a different rate compared to the null hypothesis.
Subject Headings: Goodness-of-fit test
Kernel estimate
Smoothed periodogram
Stationary process
Weak convergence under the alternative
Issue Date: 2010-05-03T14:21:27Z
Appears in Collections:Sonderforschungsbereich (SFB) 823

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