Browsing by Subject "Spectral density matrix"
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Article
Bootstrapping frequency domain tests in multivariate time series with an application to comparing spectral densities
(2009)We propose a general bootstrap procedure to approximate the null distribution of non-parametric frequency domain tests about the spectral density matrix of a multivariate time series. Under a set of easy-to-verify conditions, ...
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Article
Testing the fit of a vector autoregressive moving average model
(2005)A new procedure for testing the fit of multivariate time series model is proposed. The method evaluates in a certain way the closeness of the sample spectral density matrix of the observed process to the spectral density ...