Testing equality of stationary autocovariances

DOI10.1111/J.1467-9892.2009.00616.XMaRDI QIDQ3077653zbMATH OpenOpenAlexFDO

Authors Hany Bassily, Brani Vidakovic, Robert Lund

Publication date 22 February 2011

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.2009.00616.x

zbMATH Keywords

time seriesautocorrelationspectral densityperiodogram

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12)

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Cites work

• scientific article; zbMATH DE number 897115 (Why is no real title available?)
• scientific article; zbMATH DE number 5040166 (Why is no real title available?)
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• Discrimination and Classification of Nonstationary Time Series Using the SLEX Model
• Discrimination and Clustering for Multivariate Time Series
• On discriminating between long-range dependence and changes in mean
• TESTS FOR COMPARING TWO ESTIMATED SPECTRAL DENSITIES
• Time series: theory and methods.
• Time-frequency clustering and discriminant analysis.

Cited in

(21)

• Two sample tests for high-dimensional autocovariances
• Sur un test d'égalité des autocovariances de deux séries chronologiques
• Testing the covariance function of stationary Gaussian random fields
• Wavelet-based tests for comparing two time series with unequal lengths
• Comparing autocorrelation structures of multiple time series via the maximum distance between two groups of time series
• Testing for the Equality of Two Autoregressive Functions Using Quasi-Residuals
• A comparison of multivariate signal discrimination techniques
• Robust tests for time series comparison based on Laplace periodograms
• A computational bootstrap procedure to compare two dependent time series
• Construction of a criterion for testing hypothesis about covariance function of a stationary Gaussian stochastic process with unknown mean
• Testing for Equal Predictability of Stationary ARMA Processes
• Arc length tests for equivalent autocovariances
• Tests for the equality of two processes' spectral densities with unequal lengths using wavelet methods
• On testing for the equality of autocovariance in time series
• A data-driven test to compare two or multiple time series
• Testing for the equivalence of several sets of time series and its multiple comparison procedure
• A new test for checking the equality of the correlation structures of two time series
• scientific article; zbMATH DE number 6482220 (Why is no real title available?)
• On Fan's adaptive Neyman tests for comparing two spectral densities
• Bounded area tests for comparing the dynamics between ARMA processes
• Time-series clustering via quasi \(U\)-statistics

Describes a project that uses

Uses Software

• SLEX

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