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math.ST2009★ 7 cited
Testing for white noise under unknown dependence and its applications to goodness-of-fit for time series models
Xiaofeng Shao
Testing for white noise has been well studied in the literature of econometrics and statistics. For most of the proposed test statistics, such as the well-known Box-Pierce's test s…
math.ST2008★ 1 cited
A generalized portmanteau test of independence between two stationary time series
Xiaofeng Shao
We propose generalized portmanteau-type test statistics in the frequency domain to test independence between two stationary time series. The test statistics are formed analogous to…
math.ST2006★ 126 cited
Asymptotic spectral theory for nonlinear time series
Xiaofeng Shao, Wei Biao Wu
We consider asymptotic problems in spectral analysis of stationary causal processes. Limiting distributions of periodograms and smoothed periodogram spectral density estimates are…