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Sur un test d'égalité des autocovariances de deux séries chronologiques

Author

Listed:
  • Guy Melard
  • Roch Roy

Abstract

Nous proposons un test d'égalité des fonctions d'autocovariances de deux séries chronologiques stationnaires et indépendantes. Le test est basé sur une forme quadratique du vecteur des différences des J + 1 premières autocovariances. La distribution asymptotique de la statistique considérée est obtenue sous l'hypothèse nulle et les propriétés du test, notamment le biais et la puissance, sont examinés pour des séries finies par des simulations de Monte Carlo. La statistique utilisée fait intervenir un nouvel estimateur de la structure de covariance des autocovariances échantillonnales qui fournit une matrice de covariance définie positive. Nous montrons que cet estimateur est convergent au sens de la norme L1.

Suggested Citation

  • Guy Melard & Roch Roy, 1984. "Sur un test d'égalité des autocovariances de deux séries chronologiques," ULB Institutional Repository 2013/13694, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:ulb:ulbeco:2013/13694
    Note: SCOPUS: ar.j
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    Citations

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    Cited by:

    1. Guy Melard & Marianne Paesmans & Roch Roy, 1991. "Consistent estimation of the asymptotic covariance structure of multivariate serial correlation," ULB Institutional Repository 2013/13722, ULB -- Universite Libre de Bruxelles.
    2. Guy Melard & Roch Roy, 1987. "On confidence intervals and tests for autocorrelations," ULB Institutional Repository 2013/13702, ULB -- Universite Libre de Bruxelles.
    3. Corduas, Marcella & Piccolo, Domenico, 2008. "Time series clustering and classification by the autoregressive metric," Computational Statistics & Data Analysis, Elsevier, vol. 52(4), pages 1860-1872, January.

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