Advanced Search
MyIDEAS: Login to save this article or follow this journal

Bootstrapping frequency domain tests in multivariate time series with an application to comparing spectral densities

Contents:

Author Info

  • Holger Dette
  • Efstathios Paparoditis
Registered author(s):

    Abstract

    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, we establish asymptotic validity of the bootstrap procedure proposed. We apply a version of this procedure together with a new statistic to test the hypothesis that the spectral densities of not necessarily independent time series are equal. The test statistic proposed is based on an "L" 2-distance between the non-parametrically estimated individual spectral densities and an overall, 'pooled' spectral density, the latter being obtained by using the whole set of "m" time series considered. The effects of the dependence between the time series on the power behaviour of the test are investigated. Some simulations are presented and a real life data example is discussed. Copyright (c) 2009 Royal Statistical Society.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9868.2009.00709.x
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Royal Statistical Society in its journal Journal of the Royal Statistical Society: Series B (Statistical Methodology).

    Volume (Year): 71 (2009)
    Issue (Month): 4 ()
    Pages: 831-857

    as in new window
    Handle: RePEc:bla:jorssb:v:71:y:2009:i:4:p:831-857

    Contact details of provider:
    Postal: 12 Errol Street, London EC1Y 8LX, United Kingdom
    Phone: -44-171-638-8998
    Fax: -44-171-256-7598
    Email:
    Web page: http://wileyonlinelibrary.com/journal/rssb
    More information through EDIRC

    Order Information:
    Web: http://ordering.onlinelibrary.wiley.com/subs.asp?ref=1467-9868&doi=10.1111/(ISSN)1467-9868

    Related research

    Keywords:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Wenceslao González-Manteiga & Rosa Crujeiras, 2013. "An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 22(3), pages 361-411, September.
    2. Jentsch, Carsten & Pauly, Markus, 2012. "A note on using periodogram-based distances for comparing spectral densities," Statistics & Probability Letters, Elsevier, vol. 82(1), pages 158-164.
    3. Dette, Holger & Hildebrandt, Thimo, 2012. "A note on testing hypotheses for stationary processes in the frequency domain," Journal of Multivariate Analysis, Elsevier, vol. 104(1), pages 101-114, February.
    4. Preuß, Philip & Hildebrandt, Thimo, 2013. "Comparing spectral densities of stationary time series with unequal sample sizes," Statistics & Probability Letters, Elsevier, vol. 83(4), pages 1174-1183.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:bla:jorssb:v:71:y:2009:i:4:p:831-857. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.