Decowski, Jonathan; Li, Linyuan - In: Journal of Time Series Analysis 36 (2015) 2, pp. 189-208
type="main" xml:id="jtsa12101-abs-0001"Test procedures for assessing whether two stationary and independent time series with unequal lengths have the same spectral density (or same auto-covariance function) are investigated. A new test statistic is proposed based on the wavelet transform. It...