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• W2127347002 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 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 L2-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." @default.
• W2127347002 created "2016-06-24" @default.
• W2127347002 creator A5051325644 @default.
• W2127347002 creator A5060734352 @default.
• W2127347002 date "2009-06-12" @default.
• W2127347002 modified "2023-09-27" @default.
• W2127347002 title "Bootstrapping Frequency Domain Tests in Multivariate Time Series with an Application to Comparing Spectral Densities" @default.
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• W2127347002 doi "https://doi.org/10.1111/j.1467-9868.2009.00709.x" @default.
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