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Dette, Holger (contributor); Wiens, Douglas P. (contributor) - 2007

We discuss optimal design problems for a popular method of series estimation in regression problems. Commonly used design criteria are based on the generalized variance of the estimates of the coefficients in a truncated series expansion and do not take possible bias into account. We present a...

Persistent link: https://www.econbiz.de/10003581917

Canonical moments, orthogonal polynomials with application to statistics

Dette, Holger - 2002

In this paper we describe the special role of moment theory for the construction of optimal designs in statistical … role for the construction of optimal designs in these models. We introduce the theory of canonical moments, which provide a … problems. On the other hand these results can be used for the derivation of several new results in approximation theory. As …

Persistent link: https://www.econbiz.de/10009775972

A note on a specification test for time series models based on spectral density estimation

Dette, Holger; Spreckelsen, Ingrid - 2001

In a recent paper Paparoditis (2000) proposed a new goodness-of-fit test for time series models based on spectral density estimation. The test statistic is based on the distance between a kernel estimator of the ratio of the true and the hypothesized spectral density and the expected value of...

Persistent link: https://www.econbiz.de/10009775974

Strong approximation of eigenvalues of large dimensional Wishart matrices by roots of generalized Laguerre polynomials

Dette, Holger - 2001

Persistent link: https://www.econbiz.de/10009776761

Quantile spectral processes : asymptotic analysis and inference

Kley, Tobias; Volgushev, Stanislav; Dette, Holger; … - 2014

Persistent link: https://www.econbiz.de/10010378433

A power comparison between nonparametric regression tests

Zhang, Chunming; Dette, Holger - 2003

In this paper, we consider three major types of nonparametric regression tests that are based on kernel and local polynomial smoothing techniques. Their asymptotic power comparisons are established systematically under the fixed and contiguous alternatives, and are also illustrated through...

Persistent link: https://www.econbiz.de/10010509837

A note on the Bickel-Rosenblatt test in autoregressive time series

Bachmann, Dirk; Dette, Holger - 2004

In a recent paper Lee and Na (2001) introduced a test for a parametric form of the distribution of the innovations in autoregressive models, which is based on the integrated squared error of the nonparametric density estimate from the residuals and a smoothed version of the parametric fit of the...

Persistent link: https://www.econbiz.de/10010516922

Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing

Dette, Holger (contributor); Podolskij, Mark (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002142062

Fourier Analysis of Serial Dependence Measures

Van Hecke, Ria; Volgushev, Stanislav; Dette, Holger - 2018

Classical spectral analysis is based on the discrete Fourier transform of the autocovariances. In this article we investigate the asymptotic properties of new frequency‐domain methods where the autocovariances in the spectral density are replaced by alternative dependence measures that can be...

Persistent link: https://www.econbiz.de/10014117799

A Simple Test for White Noise in Functional Time Series

Bagchi, Pramita; Characiejus, Vaidotas; Dette, Holger - 2017

We propose a new procedure for white noise testing of a functional time series. Our approach is based on an explicit representation of the 2‐distance between the spectral density operator and its best (2‐)approximation by a spectral density operator corresponding to a white noise process....

Persistent link: https://www.econbiz.de/10014117801