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Comparison of Non-Stationary Time Series in the Frequency Domain

  • Maharaj, E.A.

    ()

In 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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File URL: http://www.buseco.monash.edu.au/ebs/pubs/wpapers/2001/wp1-01.pdf
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Paper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 1/01.

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Length: 18 pages
Date of creation: Mar 2001
Date of revision:
Handle: RePEc:msh:ebswps:2001-1
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  1. 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.
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