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Research . 2007
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Testing equality of spectral densities

Authors: Dette, Holger; Paroditis, Efstathios;

Testing equality of spectral densities

Abstract

We develop a test of the hypothesis that the spectral densities of a number m, m ≥ 2, not necessarily independent time series are equal. The test proposed is based on an appropriate L 2 -distance measure between the nonpara- metrically estimated individual spectral densities and an overall, ’pooled’ spectral density, the later being obtained using the whole set of m time series considered. The limiting distribution of the test statistic under the null hypothesis of equal spectral densities is derived and a novel frequency domain bootstrap method is presented in order to approximate more accurately this distribution. The as- ymptotic distribution of the test and its power properties for fixed alternatives are investigated. Some simulations are presented and a real-life data example is discussed. Primary 62M10, 62M15; secondary 62G09

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Keywords

Statistischer Test, Nonparametric kernel, ddc:519, Zeitreihenanalyse, Multiple time series, Periodogram, info:eu-repo/classification/ddc/004, Theorie, Bootstrap, Spectral density matrix, 004

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citations
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
1
Average
Average
Average
Green