Comparing spectral densities of stationary time series with unequal sample sizes

DOI10.1016/j.spl.2013.01.015zbMath1489.62296arXiv1207.5659OpenAlexW2030887288MaRDI QIDQ1950769

Thimo Hildebrandt, Philip Preuss

Publication date: 13 May 2013

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

Full work available at URL: https://arxiv.org/abs/1207.5659

zbMATH Keywords

time seriescluster analysisstationary processspectral densityunequal length

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 (3)

The bootstrap for testing the equality of two multivariate time series with an application to financial markets ⋮ Time series clustering using the total variation distance with applications in oceanography ⋮ Testing equality of spectral densities using randomization techniques

Cites Work

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• TESTS FOR COMPARING TWO ESTIMATED SPECTRAL DENSITIES
• DISCRIMINATING BETWEEN TWO SPECTRAL DENSITIES IN CASE OF REPLICATED OBSERVATIONS
• Nonparametric Comparison of Cumulative Periodograms
• Testing non-parametric hypotheses for stationary processes by estimating minimal distances

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