Asymptotics Of Spectral Density Estimates
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Cited by:
- Forni, Mario & Hallin, Marc & Lippi, Marco & Zaffaroni, Paolo, 2017.
"Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis,"
Journal of Econometrics, Elsevier, vol. 199(1), pages 74-92.
- Lippi, Marco & Hallin, Marc & Forni, Mario & Zaffaroni, Paolo, 2015. "Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis," CEPR Discussion Papers 10618, C.E.P.R. Discussion Papers.
- Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2016. "Dynamic Factor Models with Infinite-Dimensional Factor Space. Asymptotic Analysis," EIEF Working Papers Series 1607, Einaudi Institute for Economics and Finance (EIEF), revised Apr 2016.
- Pietro Dallari & Antonio Ribba, 2015. "Dynamic Factor Models with In nite-Dimensional Factor Space: Asymptotic Analysis," Center for Economic Research (RECent) 115, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2015. "Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis," Working Papers ECARES ECARES 2015-23, ULB -- Universite Libre de Bruxelles.
- Loubaton, Philippe & Rosuel, Alexis & Vallet, Pascal, 2023. "On the asymptotic distribution of the maximum sample spectral coherence of Gaussian time series in the high dimensional regime," Journal of Multivariate Analysis, Elsevier, vol. 194(C).
- Horváth, Lajos & Rice, Gregory & Whipple, Stephen, 2016. "Adaptive bandwidth selection in the long run covariance estimator of functional time series," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 676-693.
- Steland, Ansgar, 2024. "Flexible nonlinear inference and change-point testing of high-dimensional spectral density matrices," Journal of Multivariate Analysis, Elsevier, vol. 199(C).
- Alexander Braumann & Jens‐Peter Kreiss & Marco Meyer, 2021. "Simultaneous inference for autocovariances based on autoregressive sieve bootstrap," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(5-6), pages 534-553, September.
- Berkes, István & Horváth, Lajos & Rice, Gregory, 2016. "On the asymptotic normality of kernel estimators of the long run covariance of functional time series," Journal of Multivariate Analysis, Elsevier, vol. 144(C), pages 150-175.
- Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2014.
"Multivariate variance ratio statistics,"
CeMMAP working papers
CWP29/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2014. "Multivariate Variance Ratio Statistics," Cambridge Working Papers in Economics 1459, Faculty of Economics, University of Cambridge.
- Horváth, Lajos & Liu, Zhenya & Rice, Gregory & Wang, Shixuan, 2020. "Sequential monitoring for changes from stationarity to mild non-stationarity," Journal of Econometrics, Elsevier, vol. 215(1), pages 209-238.
- Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2014.
"Multivariate Variance Ratio Statistics,"
Cambridge Working Papers in Economics
1459, Faculty of Economics, University of Cambridge.
- Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2014. "Multivariate variance ratio statistics," CeMMAP working papers 29/14, Institute for Fiscal Studies.
- Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2014. "Multivariate variance ratio statistics," CeMMAP working papers CWP29/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Stefan Birr & Stanislav Volgushev & Tobias Kley & Holger Dette & Marc Hallin, 2017.
"Quantile spectral analysis for locally stationary time series,"
Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(5), pages 1619-1643, November.
- Stefan Skowronek & Stanislav Volgushev & Tobias Kley & Holger Dette & Marc Hallin, 2014. "Quantile Spectral Analysis for Locally Stationary Time Series," Working Papers ECARES ecares 2014-24, ULB -- Universite Libre de Bruxelles.
- Stefan Birr & Stanislav Volgushev & Tobias Kley & Holger Dette & Marc Hallin, 2015. "Quantile Spectral Analysis for Locally Stationary Time Series," Working Papers ECARES ECARES 2015-27, ULB -- Universite Libre de Bruxelles.
- van Delft, Anne, 2020. "A note on quadratic forms of stationary functional time series under mild conditions," Stochastic Processes and their Applications, Elsevier, vol. 130(7), pages 4206-4251.
- Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2015.
"An investigation into multivariate variance ratio statistics and their application to stock market predictability,"
CeMMAP working papers
CWP13/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2015. "An investigation into multivariate variance ratio statistics and their application to stock market predictability," CeMMAP working papers 13/15, Institute for Fiscal Studies.
- Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2015. "An investigation into Multivariate Variance Ratio Statistics and their application to Stock Market Predictability," Cambridge Working Papers in Economics 1552, Faculty of Economics, University of Cambridge.
- Politis, Dimitris, 2012. "On The Behavior Of Nonparametric Density And Spectral Density Estimators At Zero Points Of Their Support," University of California at San Diego, Economics Working Paper Series qt40g0z0tz, Department of Economics, UC San Diego.
- Deb, Soudeep & Karmakar, Sayar, 2023. "A novel spatio-temporal clustering algorithm with applications on COVID-19 data from the United States," Computational Statistics & Data Analysis, Elsevier, vol. 188(C).
- Zhang, Rongmao & Chan, Ngai Hang & Chi, Changxiong, 2023. "Nonparametric testing for the specification of spatial trend functions," Journal of Multivariate Analysis, Elsevier, vol. 196(C).
- Horváth, Lajos & Rice, Gregory & Zhao, Yuqian, 2023. "Testing for changes in linear models using weighted residuals," Journal of Multivariate Analysis, Elsevier, vol. 198(C).
- Panxu Yuan & Xiao Guo, 2022. "High-dimensional inference for linear model with correlated errors," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 85(1), pages 21-52, January.
- Horváth, Lajos & Reeder, Ron, 2012. "Detecting changes in functional linear models," Journal of Multivariate Analysis, Elsevier, vol. 111(C), pages 310-334.
- Lajos Horváth & Gregory Rice, 2014. "Extensions of some classical methods in change point analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(2), pages 219-255, June.
- Kin Wai Chan & Chun Yip Yau, 2017. "High-order Corrected Estimator of Asymptotic Variance with Optimal Bandwidth," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 44(4), pages 866-898, December.
- Efstathios Paparoditis & Dimitris N. Politis, 2016. "A Note on the Behaviour of Nonparametric Density and Spectral Density Estimators at Zero Points of their Support," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(2), pages 182-194, March.
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