Showing 1 - 10 of 10
We frequently observe that one of the aims of time series analysts is to predict future values of the data. For weakly dependent data, when the model is known up to a finite set of parameters, its statistical properties are well documented and exhaustively examined. However, if the model was...
Persistent link: https://www.econbiz.de/10012771044
We propose a test for separability of the correlation structure of a multivariate time series. We construct test statistics based on a spectral density matrix estimated in a nonparametric way and derive their asymptotic properties. We use simulation to check the performance in finite samples
Persistent link: https://www.econbiz.de/10014071018
Persistent link: https://www.econbiz.de/10013445687
Persistent link: https://www.econbiz.de/10013445725
Persistent link: https://www.econbiz.de/10013445735
Persistent link: https://www.econbiz.de/10013445738
Persistent link: https://www.econbiz.de/10014528099
Persistent link: https://www.econbiz.de/10014310363
Persistent link: https://www.econbiz.de/10013357247
Persistent link: https://www.econbiz.de/10015418053