A note on using periodogram-based distances for comparing spectral densities

DOI10.1016/J.SPL.2011.09.014zbMath1229.62130OpenAlexW2004346232MaRDI QIDQ654494

Carsten Jentsch, Markus Pauly

Publication date: 28 December 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.09.014

zbMATH Keywords

nonparametric tests

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (10)

A computational technique to classify several fractional Brownian motion processes ⋮ Analysis of high-dimensional one group repeated measures designs ⋮ A computational method to compare spectral densities of independent periodically correlated time series ⋮ Time series clustering using the total variation distance with applications in oceanography ⋮ Tests for the Equality of Two Processes' Spectral Densities with Unequal Lengths Using Wavelet Methods ⋮ Comparing spectral densities of stationary time series with unequal sample sizes ⋮ Wavelet‐Based Tests for Comparing Two Time Series with Unequal Lengths ⋮ A New Test for Checking the Equality of the Correlation Structures of two time Series ⋮ Comparing autocorrelation structures of multiple time series via the maximum distance between two groups of time series ⋮ Testing equality of spectral densities using randomization techniques

Cites Work

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• Testing nonparametric and semiparametric hypotheses in vector stationary processes
• Bootstrapping Frequency Domain Tests in Multivariate Time Series with an Application to Comparing Spectral Densities
• Comparison of Times Series with Unequal Length in the Frequency Domain
• TESTS FOR COMPARING TWO ESTIMATED SPECTRAL DENSITIES
• DISCRIMINATING BETWEEN TWO SPECTRAL DENSITIES IN CASE OF REPLICATED OBSERVATIONS
• Nonparametric Comparison of Cumulative Periodograms

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