Tests for comparing time-invariant and time-varying spectra based on the Anderson-Darling statistic
Methodology
2021-03-16 v3
Abstract
Based on periodogram-ratios of two univariate time series at different frequency points, two tests are proposed for comparing their spectra. One is an Anderson-Darling-like statistic for testing the equality of two time-invariant spectra. The other is the maximum of Anderson-Darling-like statistics for testing the equality of two spectra no matter that they are time-invariant and time-varying. Both of two tests are applicable for independent or dependent time series. Several simulation examples show that the proposed statistics outperform those that are also based on periodogram-ratios but constructed by the Pearson-like statistics.
Keywords
Cite
@article{arxiv.1705.04821,
title = {Tests for comparing time-invariant and time-varying spectra based on the Anderson-Darling statistic},
author = {Shibin Zhang and Xin M. Tu},
journal= {arXiv preprint arXiv:1705.04821},
year = {2021}
}
Comments
23 pages, 5 tables