Bootstrapping frequency domain tests in multivariate time series with an applicaton to comparing spectral densities
| 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.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.identifier.uri | http://hdl.handle.net/2003/25984 | |
| dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-14170 | |
| 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 |