Browsing Τμήμα Μαθηματικών και Στατιστικής / Department of Mathematics and Statistics by Subject "Multiple time series"
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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, ...