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A new frequency domain approach of testing for covariance stationarity and for periodic stationarity in multivariate linear processes

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  • Carsten Jentsch

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  • Carsten Jentsch, 2012. "A new frequency domain approach of testing for covariance stationarity and for periodic stationarity in multivariate linear processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 33(2), pages 177-192, March.
    • Handle: RePEc:bla:jtsera:v:33:y:2012:i:2:p:177-192
    DOI: j.1467-9892.2011.00750.x
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    File URL: http://hdl.handle.net/10.1111/j.1467-9892.2011.00750.x
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    Cited by:

    1. Tata Subba Rao & Granville Tunnicliffe Wilson & Soutir Bandyopadhyay & Carsten Jentsch & Suhasini Subba Rao, 2017. "A Spectral Domain Test for Stationarity of Spatio-Temporal Data," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(2), pages 326-351, March.
    2. Mahmoudi, Mohammad Reza, 2021. "A computational technique to classify several fractional Brownian motion processes," Chaos, Solitons & Fractals, Elsevier, vol. 150(C).
    3. Jentsch, Carsten & Subba Rao, Suhasini, 2015. "A test for second order stationarity of a multivariate time series," Journal of Econometrics, Elsevier, vol. 185(1), pages 124-161.

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