A new test for checking the equality of the correlation structures of two time series
From MaRDI portal
Publication:2802913
DOI10.1111/JTSA.12162zbMATH Open1381.62248OpenAlexW2135846711MaRDI QIDQ2802913FDOQ2802913
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
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
- Time series: theory and methods.
- Stochastic Limit Theory
- Testing goodness-of-fit in regression via order selection criteria
- Nonparametric smoothing and lack-of-fit tests
- A test for second-order stationarity of a time series based on the discrete Fourier transform
- A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
- Comparison of non-stationary time series in the frequency domain
- Nonparametric Comparison of Cumulative Periodograms
- Bootstrapping frequency domain tests in multivariate time series with an application to comparing spectral densities
- 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 (6)
- Robust tests for time series comparison based on Laplace periodograms
- A computational bootstrap procedure to compare two dependent time series
- A new correlation coefficient for bivariate time-series data
- On testing for the equality of autocovariance in time series
- Title not available (Why is that?)
- Tests for the Equality of Two Processes' Spectral Densities with Unequal Lengths Using Wavelet Methods
This page was built for publication: A new test for checking the equality of the correlation structures of two time series
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2802913)
