A note on testing hypotheses for stationary processes in the frequency domain

dc.contributor.author	Dette, Holger
dc.contributor.author	Hildebrandt, Thimo
dc.date.accessioned	2010-05-03T14:21:27Z
dc.date.available	2010-05-03T14:21:27Z
dc.date.issued	2010-05-03T14:21:27Z
dc.description.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.	en
dc.identifier.uri	http://hdl.handle.net/2003/27131
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-8593
dc.language.iso	en	en
dc.relation.ispartofseries	Discussion Paper / SFB 823;13/2010
dc.subject	Goodness-of-fit test	en
dc.subject	Kernel estimate	en
dc.subject	Smoothed periodogram	en
dc.subject	Stationary process	en
dc.subject	Weak convergence under the alternative	en
dc.subject.ddc	310
dc.subject.ddc	330
dc.subject.ddc	620
dc.title	A note on testing hypotheses for stationary processes in the frequency domain	en
dc.type	Text	de
dc.type.publicationtype	report	de
dcterms.accessRights	open access

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