Bootstrapping Frequency Domain Tests in Multivariate Time Series with an Application to Comparing Spectral Densities
Work
Year: 2009
Type: article
Abstract: Summary 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 ... more
Authors Holger Dette, Efstathios Paparoditis
Institutions Ruhr University Bochum, University of Cyprus
Cites: 49
Cited by: 58
Related to: 10
FWCI: 2.26
Citation percentile (by year/subfield): 89.19
Subfield: Analytical Chemistry
Field: Chemistry
Domain: Physical Sciences
Open Access status: bronze
Grant ID IR01GM072876:01A1