Comparing spectral densities of stationary time series with unequal sample sizes

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dc.contributor.authorHildebrandt, Thimo
dc.contributor.authorPreuß, Philip
dc.date.accessioned2011-09-09T13:57:45Z
dc.date.available2011-09-09T13:57:45Z
dc.date.issued2011-09-09
dc.description.abstractThis paper deals with the comparison of several stationary processes with unequal sample sizes. We provide a detailed theoretical framework on the testing problem for equality of spectral densities in the bivariate case, but also present the generalization to the m dimensional case and to other statistical applications like testing for zero correlation or clustering of time series data with different length. We prove asymptotic normality of an appropriately standardized version of the test statistic both under the null and the alternative and investigate the finite sample properties of our method in a comprehensive simulation study. Furthermore we apply our approach to cluster financial time series data with different sample length.en
dc.identifier.urihttp://hdl.handle.net/2003/29080
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-2819
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB 823;34/2011en
dc.subjectcluster analysisen
dc.subjectintegrated periodogramen
dc.subjectspectral densityen
dc.subjectstationary processen
dc.subjecttime seriesen
dc.subjectunequal lengthen
dc.subject.ddc310
dc.subject.ddc330
dc.subject.ddc620
dc.titleComparing spectral densities of stationary time series with unequal sample sizesen
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access

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Sonderforschungsbereich (SFB) 823