SERGIDES, MARIOS; PAPARODITIS, EFSTATHIOS - In: Scandinavian Journal of Statistics 36 (2009) 4, pp. 800-821
Many time series in applied sciences obey a time-varying spectral structure. In this article, we focus on locally stationary processes and develop tests of the hypothesis that the time-varying spectral density has a semiparametric structure, including the interesting case of a time-varying...