Bootstrapping frequency domain tests in multivariate time series with an application to comparing spectral densities
Date
2008Publisher
Univ., SFB 475Place of publication
DortmundVolume
2008,28Google Scholar check
Metadata
Show full item recordAbstract
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.
Links
http://www.statistik.tu-dortmund.de/fileadmin/user_upload/Lehrstuehle/MSind/SFB_475/2008/tr28-08.pdfhttp://hdl.handle.net/10419/36587