On semiparametric testing of I(d) by FEXP models

Masaki Narukawa

doi:10.1080/03610926.2011.594539

On semiparametric testing of I(d) by FEXP models

Research output: Contribution to journal › Article › peer-review

Abstract

To statistically test the assumption that a scalar-valued process is I(d), this article proposes a test statistic based on a broadband semiparametric method by use of fractional exponential (FEXP) models. The test is semiparametric in terms of flexibility in modeling spectral density. We establish the asymptotic behavior and report finite-sample performance by a Monte Carlo study.

Original language	English
Pages (from-to)	1637-1653
Number of pages	17
Journal	Communications in Statistics - Theory and Methods
Volume	42
Issue number	9
DOIs	https://doi.org/10.1080/03610926.2011.594539
Publication status	Published - 2013

Keywords

Fractional exponential models
I(d) processes
Semiparametric testing

ASJC Scopus subject areas

Statistics and Probability

Access to Document

10.1080/03610926.2011.594539

Cite this

@article{12dd065f1b794127b92dc1de0ec27f6d,

title = "On semiparametric testing of I(d) by FEXP models",

abstract = "To statistically test the assumption that a scalar-valued process is I(d), this article proposes a test statistic based on a broadband semiparametric method by use of fractional exponential (FEXP) models. The test is semiparametric in terms of flexibility in modeling spectral density. We establish the asymptotic behavior and report finite-sample performance by a Monte Carlo study.",

keywords = "Fractional exponential models, I(d) processes, Semiparametric testing",

author = "Masaki Narukawa",

year = "2013",

doi = "10.1080/03610926.2011.594539",

language = "English",

volume = "42",

pages = "1637--1653",

journal = "Communications in Statistics - Theory and Methods",

issn = "0361-0926",

publisher = "Taylor and Francis Ltd.",

number = "9",

}

TY - JOUR

T1 - On semiparametric testing of I(d) by FEXP models

AU - Narukawa, Masaki

PY - 2013

Y1 - 2013

N2 - To statistically test the assumption that a scalar-valued process is I(d), this article proposes a test statistic based on a broadband semiparametric method by use of fractional exponential (FEXP) models. The test is semiparametric in terms of flexibility in modeling spectral density. We establish the asymptotic behavior and report finite-sample performance by a Monte Carlo study.

AB - To statistically test the assumption that a scalar-valued process is I(d), this article proposes a test statistic based on a broadband semiparametric method by use of fractional exponential (FEXP) models. The test is semiparametric in terms of flexibility in modeling spectral density. We establish the asymptotic behavior and report finite-sample performance by a Monte Carlo study.

KW - Fractional exponential models

KW - I(d) processes

KW - Semiparametric testing

UR - http://www.scopus.com/inward/record.url?scp=84877938417&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84877938417&partnerID=8YFLogxK

U2 - 10.1080/03610926.2011.594539

DO - 10.1080/03610926.2011.594539

M3 - Article

AN - SCOPUS:84877938417

SN - 0361-0926

VL - 42

SP - 1637

EP - 1653

JO - Communications in Statistics - Theory and Methods

JF - Communications in Statistics - Theory and Methods

IS - 9

ER -

On semiparametric testing of I(d) by FEXP models

Abstract

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this