20 citations · 47 across the 7 of their papers we have counts for
4 papers · 1 filter
Estimation of the long-run variance of nonlinear time series with an application to change point analysis
Vaidotas Characiejus, Piotr Kokoszka, Xiangdong Meng
For a broad class of nonlinear time series known as Bernoulli shifts, we establish the asymptotic normality of the smoothed periodogram estimator of the long-run variance. This est…
The maximum of the periodogram of Hilbert space valued time series
Clément Cerovecki, Vaidotas Characiejus, Siegfried Hörmann
We are interested to detect periodic signals in Hilbert space valued time series when the length of the period is unknown. A natural test statistic is the maximum Hilbert-Schmidt n…
A general white noise test based on kernel lag-window estimates of the spectral density operator
Vaidotas Characiejus, Gregory Rice
We propose a general white noise test for functional time series based on estimating a distance between the spectral density operator of a weakly stationary time series and the con…
A simple test for white noise in functional time series
Pramita Bagchi, Vaidotas Characiejus, Holger Dette
We propose a new procedure for white noise testing of a functional time series. Our approach is based on an explicit representation of the -distance between the spectral densi…