Comparison of Non-Stationary Time Series in the Frequency Domain
AbstractIn this paper we compare two non-stationary time series using non-parametric procedures. Evolutionary spectra are estimated for the two series. Randomization tests are performed on groups of spectral estimates for both related and independent time series. Simul ation studies show that in certain cases the tests perform reasonably well. The tests are applied to observed geological and financial time series.
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Bibliographic InfoPaper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 1/01.
Length: 18 pages
Date of creation: Mar 2001
Date of revision:
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Postal: PO Box 11E, Monash University, Victoria 3800, Australia
Web page: http://www.buseco.monash.edu.au/depts/ebs/
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Other versions of this item:
- Maharaj, Elizabeth Ann, 2002. "Comparison of non-stationary time series in the frequency domain," Computational Statistics & Data Analysis, Elsevier, vol. 40(1), pages 131-141, July.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-04-25 (All new papers)
- NEP-ECM-2002-04-25 (Econometrics)
- NEP-ETS-2002-04-25 (Econometric Time Series)
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- Jentsch, Carsten & Pauly, Markus, 2012. "A note on using periodogram-based distances for comparing spectral densities," Statistics & Probability Letters, Elsevier, vol. 82(1), pages 158-164.
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- Preuß, Philip & Hildebrandt, Thimo, 2013. "Comparing spectral densities of stationary time series with unequal sample sizes," Statistics & Probability Letters, Elsevier, vol. 83(4), pages 1174-1183.
- Dette, Holger & Paroditis, Efstathios, 2007. "Testing equality of spectral densities," Technical Reports 2007,29, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
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