Sur un test d'égalité des autocovariances de deux séries chronologiques

DOI10.2307/3314816MaRDI QIDQ3685896zbMATH OpenOpenAlexFDO

Authors Guy Mélard, Roch Roy

Publication date 1984

Published in The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://dipot.ulb.ac.be/dspace/bitstream/2013/13694/3/Melard-Roy_CJS84_3314816.pdf

zbMATH Keywords

biasestimation of the covariance matrix of the sample autocovariancesfinite-sample propertiesindependent and stationary time seriespowerquadratic formtest for the equality of the autocovariance functions

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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Cites work

• ESTIMATING VARIANCES AND COVARIANCES OF SAMPLE AUTOCORRELATIONS AND AUTOCOVARIANCES
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• On estimation of the integrals of the fourth order cumulant spectral density

Cited in

(11)

• Time series clustering and classification by the autoregressive metric
• On confidence intervals and tests for autocorrelations
• The generalised autocovariance function
• Test for the equality of autocorrelation coefficients for two populations in multivariate data when the errors are autocorrelated
• A new test for checking the equality of the correlation structures of two time series
• scientific article; zbMATH DE number 4013810 (Why is no real title available?)
• CONSISTENT ESTIMATION OF THE ASYMPTOTIC COVARIANCE STRUCTURE OF MULTIVARIATE SERIAL CORRELATIONS
• Disoominkfrcn between gaussian time series based on their spectral differences
• Arc length tests for equivalent autocovariances
• scientific article; zbMATH DE number 1398565 (Why is no real title available?)
• The autoregressive metric for comparing time series models

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