Comparing spectral densities of stationary time series with unequal sample sizes

This paper deals with the comparison of stationary processes with unequal sample sizes. We provide a detailed theoretical framework on a test for equality of spectral densities in the bivariate case, after which the generalization of our approach to the m-dimensional case and to other statistical applications is straightforward.

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Year of publication:	2013
Authors:	Preuß, Philip ; Hildebrandt, Thimo
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 4, p. 1174-1183
Publisher:	Elsevier
Subject:	Spectral density \| Cluster analysis \| Time series \| Stationary process \| Unequal length

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011039847