Test to compare two population logspectra

DOI10.1007/S00180-006-0253-ZMaRDI QIDQ880895zbMATH OpenOpenAlexFDO

Authors N. E. Zubov

Publication date 29 May 2007

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00180-006-0253-z

zbMATH Keywords

bootstrap principleMallows metricperiodogram

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Non-Markovian processes: hypothesis testing (62M07) Inference from stochastic processes and spectral analysis (62M15)

Review text

A time series is observed for each sampled subject. It is assumed that the log-periodogram of the time series at frequency \(\omega_j\) can be represented as \(\mu_l(\omega_j)+Z_{li}(\omega_j)+e_{lij}\), where \(\mu_l\) is the population log-spectrum of the \(l\)-th population, \(Z_{li}\) is a specific component of the spectrum of the \(i\)-th subject in the \(l\)-th population, and \(e_{lij}\) are i.i.d. errors. The problem is to test the hypothesis \(\mu_1=\mu_2\). The authors propose a bootstrap-based test and prove that the bootstrap principle holds in Mallows' metric.

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Cites work

• Estimation of the Innovation Variance of a Stationary Time Series
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• scientific article; zbMATH DE number 991833 (Why is no real title available?)
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
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Cited in

(2)

• Bootstrapping frequency domain tests in multivariate time series with an application to comparing spectral densities
• scientific article; zbMATH DE number 2201191 (Why is no real title available?)

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