A note on using periodogram-based distances for comparing spectral densities
DOI10.1016/J.SPL.2011.09.014zbMATH Open1229.62130OpenAlexW2004346232MaRDI QIDQ654494FDOQ654494
Authors: Carsten Jentsch, Markus Pauly 
Publication date: 28 December 2011
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2011.09.014
Recommendations
- Comparing spectral densities of stationary time series with unequal sample sizes
- A frequency-domain test to check equality in spectral densities of multiple time series with unequal lengths
- Wavelet-based tests for comparing two time series with unequal lengths
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- Tests for the equality of two processes' spectral densities with unequal lengths using wavelet methods
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)
Cites Work
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- Testing nonparametric and semiparametric hypotheses in vector stationary processes
- Comparison of non-stationary time series in the frequency domain
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- A periodogram-based metric for time series classification
- 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
- TESTS FOR COMPARING TWO ESTIMATED SPECTRAL DENSITIES
- Asymptotic normality of spectral estimates
- Testing equality of spectral densities using randomization techniques
- DISCRIMINATING BETWEEN TWO SPECTRAL DENSITIES IN CASE OF REPLICATED OBSERVATIONS
Cited In (10)
- A computational technique to classify several fractional Brownian motion processes
- Wavelet-based tests for comparing two time series with unequal lengths
- Testing equality of spectral densities using randomization techniques
- Comparing autocorrelation structures of multiple time series via the maximum distance between two groups of time series
- Time series clustering using the total variation distance with applications in oceanography
- Tests for the equality of two processes' spectral densities with unequal lengths using wavelet methods
- A computational method to compare spectral densities of independent periodically correlated time series
- Analysis of high-dimensional one group repeated measures designs
- A new test for checking the equality of the correlation structures of two time series
- Comparing spectral densities of stationary time series with unequal sample sizes
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