dc.contributor.author | Weissbach, Rafael | en |
dc.contributor.author | Paparoditis Efstathios, E. | en |
dc.coverage.spatial | Dortmund | en |
dc.creator | Weissbach, Rafael | en |
dc.creator | Paparoditis Efstathios, E. | en |
dc.date.accessioned | 2019-12-02T10:38:49Z | |
dc.date.available | 2019-12-02T10:38:49Z | |
dc.date.issued | 2008 | |
dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/57767 | |
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.publisher | Univ., SFB 475 | en |
dc.source.uri | http://www.statistik.tu-dortmund.de/fileadmin/user_upload/Lehrstuehle/MSind/SFB_475/2008/tr28-08.pdf | |
dc.source.uri | http://hdl.handle.net/10419/36587 | |
dc.title | Bootstrapping frequency domain tests in multivariate time series with an application to comparing spectral densities | en |
dc.type | info:eu-repo/semantics/book | |
dc.description.volume | 2008,28 | |
dc.author.faculty | Σχολή Θετικών και Εφαρμοσμένων Επιστημών / Faculty of Pure and Applied Sciences | |
dc.author.department | Τμήμα Μαθηματικών και Στατιστικής / Department of Mathematics and Statistics | |
dc.type.uhtype | Book | en |
dc.description.notes | 10419/36587 | |
dc.description.notes | Systemvoraussetzungen: Acrobat Reader | de |
dc.description.notes | (DE-601)388498781 (DE-600)21480588 Technical report Sonderforschungsbereich Komplexitätsreduktion in Multivariaten Datenstrukturen 1997 2008,28$92008028</p> | de |
dc.description.notes | <p>ID: 904 | en |
dc.description.notes | Elektronische Ressource Rafael Weissbach | en |
dc.description.notes | Efstathios Paparoditis | en |
dc.description.notes | Online-Ressource (34 S.) graph. Darst | en |
dc.contributor.orcid | Paparoditis Efstathios, E. [0000-0003-1958-781X] | |
dc.gnosis.orcid | 0000-0003-1958-781X | |