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"Homogeneity of Variance Test" for the Comparison of Two or More Spectra

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  • Maharaj, E. A.
  • Singh, N.
  • Inder, B. A.

Abstract

Let [Zjt: j = 1, 2...k, t = 0 ±1 , ±2 , ...... .] be k independent stationary processes, with spectral density functions Szj(w), j = 1.2....k In many real wend situations there is a need to compare two or more spectra. Tests to compare spectra already exist in the literature In this paper we propose a test, based on Bartlett's modification of the likelihood ratio criterion, for comparing two or more spectra. Simulation studies show that for k=2 this test is comparable and in some cases better than existing test procedures. The performance of this test for k=3 is also assessed.

Suggested Citation

  • Maharaj, E. A. & Singh, N. & Inder, B. A., "undated". ""Homogeneity of Variance Test" for the Comparison of Two or More Spectra," Department of Econometrics and Business Statistics Working Papers 267772, Monash University, Department of Econometrics and Business Statistics.
    • Handle: RePEc:ags:monebs:267772
    DOI: 10.22004/ag.econ.267772
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