Arbeitspapier
Bootstrapping frequency domain tests in multivariate time series with an application to comparing spectral densities
We propose a general bootstrap procedure to approximate the null distribution of nonparametric 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 proposed bootstrap procedure. We apply a version of this procedure together with a new statistic in order to test the hypothesis that the spectral densities of not necessarily independent time series are equal. The test statistic proposed is based on a L2-distance between the nonparametrically estimated individual spectral densities and an overall, 'pooled' spectral density, the later being obtained using the whole set of m time series considered. The effects of the dependence between the time series on the power behavior of the test are investigated. Some simulations are presented and a real-life data example is discussed.
- Language
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Englisch
- Bibliographic citation
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Series: Technical Report ; No. 2008,28
- Event
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Geistige Schöpfung
- (who)
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Dette, Holger
Paparoditis, Efstathios
- Event
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Veröffentlichung
- (who)
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Technische Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
- (where)
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Dortmund
- (when)
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2008
- Handle
- Last update
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10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Dette, Holger
- Paparoditis, Efstathios
- Technische Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Time of origin
- 2008
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