Comparison of stationary time series using distribution-free methods

DOI10.1007/978-3-642-57678-2_45MaRDI QIDQ3297970zbMATH OpenOpenAlexFDO

Authors Elizabeth Ann Maharaj

Publication date 21 July 2020

Published in COMPSTAT (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-57678-2_45

zbMATH Keywords

autocorrelationsmoving blocks bootstrappartial autocorrelationsstationary time series

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric statistical resampling methods (62G09) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Comparison of time series using subsampling
• A bootstrap test for the comparison of nonlinear time series
• Comparison of non-stationary time series in the frequency domain
• Clusters of time series
• Comparing non-stationary and irregularly spaced time series

Cites work

• A Nonparametric Test for the Parallelism of Two First-Order Autoregressive Processes
• A significance test for classifying arma models
• A test for a difference between spectral peak frequencies.
• Block length selection in the bootstrap for time series
• Bootstrap methods: another look at the jackknife
• General Considerations in the Analysis of Spectra
• Large-sample tests of homogeneity for time series models
• Nonparametric Comparison of Cumulative Periodograms
• On blocking rules for the bootstrap with dependent data
• On the asymptotic accuracy of Efron's bootstrap
• Subsampling for heteroskedastic time series
• The jackknife and the bootstrap for general stationary observations

Cited in

(8)

• Comparison of non-stationary time series in the frequency domain
• Comparing non-stationary and irregularly spaced time series
• Comparing the marginal densities of two strictly stationary linear processes
• Nonparametric Methods of Process Discrimination and Model Validation Using Zero Crossings
• Methods for calculating stationary distribution in linear models of time series
• Testing the difference between two independent time series models
• Comparison of time series using subsampling
• A bootstrap test for the comparison of nonlinear time series

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