A note on using periodogram-based distances for comparing spectral densities

DOI10.1016/J.SPL.2011.09.014MaRDI QIDQ654494zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

nonparametric tests

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• scientific article; zbMATH DE number 5604036 (Why is no real title available?)
• scientific article; zbMATH DE number 4102349 (Why is no real title available?)
• scientific article; zbMATH DE number 3765004 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A periodogram-based metric for time series classification
• Asymptotic normality of spectral estimates
• 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
• Comparison of non-stationary time series in the frequency domain
• DISCRIMINATING BETWEEN TWO SPECTRAL DENSITIES IN CASE OF REPLICATED OBSERVATIONS
• Nonparametric Comparison of Cumulative Periodograms
• TESTS FOR COMPARING TWO ESTIMATED SPECTRAL DENSITIES
• Testing equality of spectral densities using randomization techniques
• Testing nonparametric and semiparametric hypotheses in vector stationary processes

Cited in

(10)

• Comparing spectral densities of stationary time series with unequal sample sizes
• Comparing autocorrelation structures of multiple time series via the maximum distance between two groups of time series
• A computational method to compare spectral densities of independent periodically correlated time series
• Tests for the equality of two processes' spectral densities with unequal lengths using wavelet methods
• Wavelet-based tests for comparing two time series with unequal lengths
• A new test for checking the equality of the correlation structures of two time series
• Analysis of high-dimensional one group repeated measures designs
• Time series clustering using the total variation distance with applications in oceanography
• A computational technique to classify several fractional Brownian motion processes
• Testing equality of spectral densities using randomization techniques

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