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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2024
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2403.12714 |
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| _version_ | 1866910373648531456 |
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| author | Moor, Alban La Vecchia, Davide Ronchetti, Elvezio |
| author_facet | Moor, Alban La Vecchia, Davide Ronchetti, Elvezio |
| contents | We introduce innovative inference procedures for analyzing time series data. Our methodology enables density approximation and composite hypothesis testing based on Whittle's estimator, a widely applied M-estimator in the frequency domain. Its core feature involves the (general Legendre transform of the) cumulant generating function of the Whittle likelihood score, as obtained using an approximated distribution of the periodogram ordinates. We present a testing algorithm that significantly expands the applicability of the state-of-the-art saddlepoint test, while maintaining the numerical accuracy of the saddlepoint approximation. Additionally, we demonstrate connections between our findings and three other prevalent frequency domain approaches: the bootstrap, empirical likelihood, and exponential tilting. Numerical examples using both simulated and real data illustrate the advantages and accuracy of our methodology. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2403_12714 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | On the use of the cumulant generating function for inference on time series Moor, Alban La Vecchia, Davide Ronchetti, Elvezio Methodology Computation We introduce innovative inference procedures for analyzing time series data. Our methodology enables density approximation and composite hypothesis testing based on Whittle's estimator, a widely applied M-estimator in the frequency domain. Its core feature involves the (general Legendre transform of the) cumulant generating function of the Whittle likelihood score, as obtained using an approximated distribution of the periodogram ordinates. We present a testing algorithm that significantly expands the applicability of the state-of-the-art saddlepoint test, while maintaining the numerical accuracy of the saddlepoint approximation. Additionally, we demonstrate connections between our findings and three other prevalent frequency domain approaches: the bootstrap, empirical likelihood, and exponential tilting. Numerical examples using both simulated and real data illustrate the advantages and accuracy of our methodology. |
| title | On the use of the cumulant generating function for inference on time series |
| topic | Methodology Computation |
| url | https://arxiv.org/abs/2403.12714 |