dc.contributor.author | Sergides, M. | en |
dc.contributor.author | Paparoditis Efstathios, E. | en |
dc.creator | Sergides, M. | en |
dc.creator | Paparoditis Efstathios, E. | en |
dc.date.accessioned | 2019-12-02T10:38:11Z | |
dc.date.available | 2019-12-02T10:38:11Z | |
dc.date.issued | 2009 | |
dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/57602 | |
dc.description.abstract | Many time series in applied sciences obey a time-varying spectral structure. In this article, we focus on locally stationary processes and develop tests of the hypothesis that the time-varying spectral density has a semiparametric structure, including the interesting case of a time-varying autoregressive moving-average (tvARMA) model. The test introduced is based on a L2-distance measure of a kernel smoothed version of the local periodogram rescaled by the time-varying spectral density of the estimated semiparametric model. The asymptotic distribution of the test statistic under the null hypothesis is derived. As an interesting special case, we focus on the problem of testing for the presence of a tvAR model. A semiparametric bootstrap procedure to approximate more accurately the distribution of the test statistic under the null hypothesis is proposed. Some simulations illustrate the behaviour of our testing methodology in finite sample situations. © 2009 Board of the Foundation of the Scandinavian Journal of Statistics. | en |
dc.source | Scandinavian Journal of Statistics | en |
dc.source.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-70350492994&doi=10.1111%2fj.1467-9469.2009.00652.x&partnerID=40&md5=a871f4350caa02937d498b7e042295fa | |
dc.subject | Bootstrap | en |
dc.subject | Semiparametric models | en |
dc.subject | Local periodogram | en |
dc.subject | Local spectral density | en |
dc.subject | Non-parametric estimation | en |
dc.title | Frequency domain tests of semiparametric hypotheses for locally stationary processes | en |
dc.type | info:eu-repo/semantics/article | |
dc.identifier.doi | 10.1111/j.1467-9469.2009.00652.x | |
dc.description.volume | 36 | |
dc.description.issue | 4 | |
dc.description.startingpage | 800 | |
dc.description.endingpage | 821 | |
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 | Article | en |
dc.description.notes | <p>Cited By :9</p> | en |
dc.source.abbreviation | Scand.J.Stat. | en |
dc.contributor.orcid | Paparoditis Efstathios, E. [0000-0003-1958-781X] | |
dc.gnosis.orcid | 0000-0003-1958-781X | |