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Testing Equality Of Variances For Paired Time Series

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  • Jan Beran
  • Theo Gasser

Abstract

. We develop a simple test for testing equality of variances for paired stationary Gaussian time series. The test statistic is a modified z statistic. It is based on the periodograms of the two series and consistent estimation of the difference between the two spectral densities. Simulations illustrate the validity of the asymptotic results for finite samples. An application to EEG data is discussed.

Suggested Citation

  • Jan Beran & Theo Gasser, 1995. "Testing Equality Of Variances For Paired Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(2), pages 165-176, March.
    • Handle: RePEc:bla:jtsera:v:16:y:1995:i:2:p:165-176
    DOI: 10.1111/j.1467-9892.1995.tb00228.x
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    References listed on IDEAS

    as
    1. Peter J. Diggle & Nicholas I. Fisher, 1991. "Nonparametric Comparison of Cumulative Periodograms," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 40(3), pages 423-434, November.
    2. D. S. Coates & P. J. Diggle, 1986. "Tests For Comparing Two Estimated Spectral Densities," Journal of Time Series Analysis, Wiley Blackwell, vol. 7(1), pages 7-20, January.
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