A new method to compare the spectral densities of two independent periodically correlated time series

DOI10.1016/J.MATCOM.2018.12.008MaRDI QIDQ1997541zbMATH OpenOpenAlexFDO

Authors Mohammad Reza Mahmoudi, Mohammad Hossein Heydari, Reza Roohi

Publication date 2 March 2021

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2018.12.008

zbMATH Keywords

time seriesspectral analysiscomparisondiscrete Fourier transformperiodically correlated processes

Mathematics Subject Classification ID

Probability theory and stochastic processes (60-XX) Stochastic processes (60Gxx) Inference from stochastic processes (62Mxx)

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• Disoominkfrcn between gaussian time series based on their spectral differences
• Methods of multivariate analysis
• Nonparametric Comparison of Cumulative Periodograms
• Periodically Correlated Random Sequences
• Periodically correlated modeling by means of the periodograms asymptotic distributions
• Periodograms asymptotic distributions in periodically correlated processes and multivariate stationary processes: An alternative approach
• Simulation of Real-Valued Discrete-Time Periodically Correlated Gaussian Processes with Prescribed Spectral Density Matrices
• Spectral Analysis of Replicated Biomedical Time Series
• TESTS FOR COMPARING TWO ESTIMATED SPECTRAL DENSITIES
• Testing the difference between two independent time series models

Cited in

(7)

• A computational technique to classify several fractional Brownian motion processes
• Comparing autocorrelation structures of multiple time series via the maximum distance between two groups of time series
• Prediction for the processes with almost cyclostationary structure
• On kurtoses of two symmetric or asymmetric populations
• A computational method to compare spectral densities of independent periodically correlated time series
• scientific article; zbMATH DE number 5769849 (Why is no real title available?)
• The bootstrap for testing the equality of two multivariate time series with an application to financial markets

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