Wavelet-based tests for comparing two time series with unequal lengths

DOI10.1111/JTSA.12101MaRDI QIDQ5177971zbMATH OpenOpenAlexFDO

Authors Jonathan Decowski, Linyuan Li

Publication date 9 March 2015

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/jtsa.12101

zbMATH Keywords

Haar waveletsperiodogramseasonal ARMA modelspectral densitywavelet method

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Application of orthogonal and other special functions (94A11)

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Cites work

• A data-driven test to compare two or multiple time series
• A note on using periodogram-based distances for comparing spectral densities
• Adapting to Unknown Smoothness via Wavelet Shrinkage
• Automatic Smoothing of the Log Periodogram
• Comparison of Times Series with Unequal Length in the Frequency Domain
• Ideal spatial adaptation by wavelet shrinkage
• Minimax estimation via wavelet shrinkage
• Miscellanea. A simple span selector for periodogram smoothing
• Nonparametric Comparison of Cumulative Periodograms
• Spectral Density Estimation Using Sharpened Periodograms
• Ten Lectures on Wavelets
• Test of Significance Based on Wavelet Thresholding and Neyman's Truncation
• Testing equality of stationary autocovariances
• Tests for comparing time series of unequal lengths
• TESTS FOR COMPARING TWO ESTIMATED SPECTRAL DENSITIES
• Time series: theory and methods.
• Wavelet methods in statistics with R
• Wavelets on the interval and fast wavelet transforms

Cited in

(16)

• Comparing non-stationary and irregularly spaced time series
• Comparing spectral densities of stationary time series with unequal sample sizes
• A test to compare interval time series
• Robust tests for time series comparison based on Laplace periodograms
• A new test for checking the equality of the correlation structures of two time series
• Comparison of Times Series with Unequal Length in the Frequency Domain
• A frequency-domain test to check equality in spectral densities of multiple time series with unequal lengths
• Tests for the equality of two processes' spectral densities with unequal lengths using wavelet methods
• Tests for comparing time series of unequal lengths
• Arc length tests for equivalent autocovariances
• A computational bootstrap procedure to compare two dependent time series
• USING WAVELETS TO COMPARE TIME SERIES PATTERNS
• Tests for comparing time‐invariant and time‐varying spectra based on the Anderson–Darling statistic
• A note on using periodogram-based distances for comparing spectral densities
• On testing for the equality of autocovariance in time series
• Scalable Methods for Multiple Time Series Comparison in Second Order Dynamics

Describes a project that uses

Uses Software

• WaveThresh4
• wavethresh

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