A new test for checking the equality of the correlation structures of two time series

DOI10.1111/JTSA.12162zbMATH Open1381.62248OpenAlexW2135846711MaRDI QIDQ2802913FDOQ2802913

Authors: Lei Jin, Suojin Wang 

Publication date: 3 May 2016

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12162

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zbMATH Keywords

autocorrelationspectral densitylocal alternativeorder selection test

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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• Comparison of Times Series with Unequal Length in the Frequency Domain
• On the maximum of covariance estimators
• Multivariate versions of Bartlett's formula
• Testing equality of stationary autocovariances
• TESTS FOR COMPARING TWO ESTIMATED SPECTRAL DENSITIES
• A CENTRAL LIMIT THEOREM FOR m(n) AUTOCOVARIANCES
• A note on using periodogram-based distances for comparing spectral densities
• Asymptotic covariance structure of serial correlations in multivariate time series
• Comparing two samples by penalized logistic regression
• A data-driven test to compare two or multiple time series
• Sequential estimation for the autocorrelations of linear processes
• Wavelet-based tests for comparing two time series with unequal lengths

Cited In (7)

• Robust tests for time series comparison based on Laplace periodograms
• A computational bootstrap procedure to compare two dependent time series
• Tests for the equality of two processes' spectral densities with unequal lengths using wavelet methods
• A new correlation coefficient for bivariate time-series data
• On testing for the equality of autocovariance in time series
• A simple test of equality of time series
• Title not available (Why is that?)

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