Tests for comparing time‐invariant and time‐varying spectra based on the Anderson–Darling statistic

DOI10.1111/STAN.12259MaRDI QIDQ6089379zbMATH OpenOpenAlexFDO

Authors Shibin Zhang, Xin M. Tu

Publication date 14 December 2023

Published in Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1705.04821

zbMATH Keywords

Anderson-Darling statisticgoodness-of-fit testslocally stationary time seriesperiodogramspectral density

Mathematics Subject Classification ID

Statistics (62-XX) Nonparametric inference (62Gxx) Inference from stochastic processes (62Mxx)

Abstract: Based on periodogram-ratios of two univariate time series at different frequency points, two tests are proposed for comparing their spectra. One is an Anderson-Darling-like statistic for testing the equality of two time-invariant spectra. The other is the maximum of Anderson-Darling-like statistics for testing the equality of two spectra no matter that they are time-invariant and time-varying. Both of two tests are applicable for independent or dependent time series. Several simulation examples show that the proposed statistics outperform those that are also based on periodogram-ratios but constructed by the Pearson-like statistics.

Cites work

• A measure of stationarity in locally stationary processes with applications to testing
• A necessary and sufficient condition for asymptotic independence of discrete Fourier transforms under short- and long-range dependence
• A spectral domain test of isotropic properties for irregularly spaced spatial data
• A test for second-order stationarity of a time series based on the maximum of Anderson-Darling statistics
• A Test of Goodness of Fit
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
• Asymptotic theory of statistics and probability
• Bootstrapping frequency domain tests in multivariate time series with an application to comparing spectral densities
• Cross validation for locally stationary processes
• Fitting time series models to nonstationary processes
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 765034 (Why is no real title available?)
• scientific article; zbMATH DE number 897115 (Why is no real title available?)
• Locally adaptive estimation of evolutionary wavelet spectra
• Multivariate time-dependent spectral analysis using Cholesky decomposition
• Nonlinear system theory: Another look at dependence
• Nonparametric Comparison of Cumulative Periodograms
• On the rate of convergence in the multivariate CLT
• Testing equality of spectral densities using randomization techniques
• Testing non-parametric hypotheses for stationary processes by estimating minimal distances
• Testing nonparametric and semiparametric hypotheses in vector stationary processes
• Tests for comparing time-invariant and time-varying spectra based on the Pearson statistic
• Time series analysis and its applications. With R examples
• Time series. Data analysis and theory.
• Time series: theory and methods.
• Wavelet-based tests for comparing two time series with unequal lengths

This page was built for publication: Tests for comparing time‐invariant and time‐varying spectra based on the Anderson–Darling statistic

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6089379)