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Parametric Spectral Discrimination

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  • Andrew J. Grant
  • Barry G. Quinn

Abstract

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Suggested Citation

  • Andrew J. Grant & Barry G. Quinn, 2017. "Parametric Spectral Discrimination," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(6), pages 838-864, November.
    • Handle: RePEc:bla:jtsera:v:38:y:2017:i:6:p:838-864
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    File URL: http://hdl.handle.net/10.1111/jtsa.12238
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    References listed on IDEAS

    as
    1. 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.
    2. Lei Jin & Suojin Wang, 2016. "A New Test for Checking the Equality of the Correlation Structures of two time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(3), pages 355-368, May.
    3. Jonathan Decowski & Linyuan Li, 2015. "Wavelet-Based Tests for Comparing Two Time Series with Unequal Lengths," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(2), pages 189-208, March.
    4. Holger Dette & Tatjana Kinsvater & Mathias Vetter, 2011. "Testing non‐parametric hypotheses for stationary processes by estimating minimal distances," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(5), pages 447-461, September.
    5. B. G. Quinn, 1988. "A Note On Aic Order Determination For Multivariate Autoregressions," Journal of Time Series Analysis, Wiley Blackwell, vol. 9(3), pages 241-245, May.
    6. Robert Lund & Hany Bassily & Brani Vidakovic, 2009. "Testing equality of stationary autocovariances," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(3), pages 332-348, May.
    7. Hirotugu Akaike, 1969. "Fitting autoregressive models for prediction," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 21(1), pages 243-247, December.
    8. Jin, Lei, 2011. "A data-driven test to compare two or multiple time series," Computational Statistics & Data Analysis, Elsevier, vol. 55(6), pages 2183-2196, June.
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    Cited by:

    1. Jin, Lei, 2021. "Robust tests for time series comparison based on Laplace periodograms," Computational Statistics & Data Analysis, Elsevier, vol. 160(C).
    2. Lijing Ma & Andrew J. Grant & Georgy Sofronov, 2020. "Multiple change point detection and validation in autoregressive time series data," Statistical Papers, Springer, vol. 61(4), pages 1507-1528, August.

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