Testing equality of spectral densities
| dc.contributor.author | Dette, Holger | |
| dc.contributor.author | Paparoditis, Efstathios | |
| dc.date.accessioned | 2007-10-25T12:00:40Z | |
| dc.date.available | 2007-10-25T12:00:40Z | |
| dc.date.issued | 2007-10-25T12:00:40Z | |
| dc.description.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 | en |
| dc.identifier.uri | http://hdl.handle.net/2003/24798 | |
| dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-14177 | |
| dc.language.iso | en | de |
| dc.subject | Bootstrap | en |
| dc.subject | Multiple time series | en |
| dc.subject | Nonparametric kernel | en |
| dc.subject | Periodogram | en |
| dc.subject | Spectral density matrix | en |
| dc.subject.ddc | 004 | |
| dc.title | Testing equality of spectral densities | en |
| dc.type | Text | de |
| dc.type.publicationtype | report | en |
| dcterms.accessRights | open access |