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Spectral Domain Bootstrap Tests for Stationary Time Series

Dahlhaus, R. ; Hainz, G.

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For stationary linear processes Kolmogorov-Smirnov type goodness-of-fit tests for compound hypotheses based on frequency domain bootstrap methods are proposed. Similar botstrap tests for comparing the spectral distributions of two time series are suggested. The small sample performance of the tests is investigated by simulation, and a real data example is given for illustration.

Item Type: Working paper
Place of Publication: Heidelberg
Date Deposited: 24 May 2016 08:59
Date: November 1999
Number of Pages: 36
Faculties / Institutes: The Faculty of Mathematics and Computer Science > Department of Applied Mathematics
Subjects: 510 Mathematics
Schriftenreihe ID: Beiträge zur Statistik > Beiträge
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