On the comparison of time series using subsampling
In this paper we propose a procedure based on the subsampling techniques for the comparison of stationary time series that are not necessarily independent. We study a test based on the Euclidean distance between the autocorrelation functions of two series. Consistency of the proposed method is established. We present a Monte Carlo study with the size and the power of the proposed test.
|Date of creation:||Feb 2005|
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- Timmer, J. & Lauk, M. & Vach, W. & Lucking, C. H., 1999. "A test for a difference between spectral peak frequencies," Computational Statistics & Data Analysis, Elsevier, vol. 30(1), pages 45-55, March.
- Maharaj, E.A., 1994. "A Significance Test for Classifying ARMA Models," Monash Econometrics and Business Statistics Working Papers 18/94, Monash University, Department of Econometrics and Business Statistics.
- Pena D. & Rodriguez J., 2002. "A Powerful Portmanteau Test of Lack of Fit for Time Series," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 601-610, June.
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