A note using periodogram-based distances for comparing spectral densities

Jentsch, Carsten ; Pauly, Markus

DOI: https://doi.org/10.1016/j.spl.2011.09.014
URL: http://www.sciencedirect.com/science/article/pii/S...
Document Type: Article
Year of publication: 2012
The title of a journal, publication series: Statistics & Probability Letters
Volume: 82
Issue number: 1
Page range: 158-164
Place of publication: Amsterdam
Publishing house: North-Holland Publ.
ISSN: 0167-7152
Publication language: English
Institution: School of Law and Economics > Statistik (Mammen)
Subject: 510 Mathematics
Classification: MSC: 62M10 ; 62G10,
Keywords (English): Periodogram ; Spectral density ; Nonparametric tests
Abstract: Motivated by a recent paper of Caiado et al. (2009), we investigate testing problems for spectral densities of time series with unequal sample sizes. We thereby focus on analyzing their mathematical properties and illustrate our results in a small simulation study.

Dieser Eintrag ist Teil der Universitätsbibliographie.

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