Sur un test d'égalité des autocovariances de deux séries chronologiques

DOI10.2307/3314816zbMath0569.62078OpenAlexW2050181870MaRDI QIDQ3685896

Roch Roy, Guy Mélard

Publication date: 1984

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/13694/3/Melard-Roy_CJS84_3314816.pdf

zbMATH Keywords

quadratic formpowerbiasfinite-sample propertiesestimation of the covariance matrix of the sample autocovariancesindependent and stationary time seriestest for the equality of the autocovariance functions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)

Related Items (5)

On confidence intervals and tests for autocorrelations ⋮ CONSISTENT ESTIMATION OF THE ASYMPTOTIC COVARIANCE STRUCTURE OF MULTIVARIATE SERIAL CORRELATIONS ⋮ The Autoregressive metric for comparing time series models ⋮ Time series clustering and classification by the autoregressive metric ⋮ Disoominkfrcn between gaussian time series based on their spectral differences

Cites Work

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• ESTIMATING VARIANCES AND COVARIANCES OF SAMPLE AUTOCORRELATIONS AND AUTOCOVARIANCES
• On estimation of the integrals of the fourth order cumulant spectral density

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