Testing equality of spectral densities using randomization techniques
Statistics Theory
2015-06-03 v1 Statistics Theory
Abstract
In this paper, we investigate the testing problem that the spectral density matrices of several, not necessarily independent, stationary processes are equal. Based on an -type test statistic, we propose a new nonparametric approach, where the critical values of the tests are calculated with the help of randomization methods. We analyze asymptotic exactness and consistency of these randomization tests and show in simulation studies that the new procedures posses very good size and power characteristics.
Cite
@article{arxiv.1506.00827,
title = {Testing equality of spectral densities using randomization techniques},
author = {Carsten Jentsch and Markus Pauly},
journal= {arXiv preprint arXiv:1506.00827},
year = {2015}
}
Comments
Published at http://dx.doi.org/10.3150/13-BEJ584 in the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)