Related papers: Tests for comparing time-invariant and time-varyin…
It is often necessary to compare the power spectra of two or more time series. One may, for instance, wish to estimate what the power spectrum of the combined data sets might have been. One might also wish to estimate the significance of a…
Statistical inference for stochastic processes with time-varying spectral characteristics has received considerable attention in recent decades. We develop a nonparametric test for stationarity against the alternative of a smoothly…
We formulate nonparametric and semiparametric hypothesis testing of multivariate stationary linear time series in a unified fashion and propose new test statistics based on estimators of the spectral density matrix. The limiting…
A class of tests for change-point detection designed to be particularly sensitive to changes in the cross-sectional rank correlation of multivariate time series is proposed. The derived procedures are based on several multivariate…
We consider the structural change in a class of discrete valued time series that the conditional distribution follows a one-parameter exponential family. We propose a change-point test based on the maximum likelihood estimator of the…
This paper investigates a statistical procedure for testing the equality of two independent estimated covariance matrices when the number of potentially dependent data vectors is large and proportional to the size of the vectors, that is,…
An algorithm is presented which generates pairs of oscillatory random time series which have identical periodograms but differ in the number of oscillations. This result indicate the intrinsic limitations of spectral methods when it comes…
We show how two level atoms can be used to determine the local time dependent spectrum. The method is applied to a one dimensional cavity. The spectrum obtained is compared with the mode spectrum determined using spatially filtered second…
Maximum likelihood estimation and a test of fit based on the Anderson-Darling statistic is presented for the case of the power law distribution when the parameters are estimated from a left-censored sample. Expressions for the maximum…
A variety of statistical methods for understanding variability in the time domain for low count rate X-ray and gamma-ray sources are explored. Variability can be detected using nonparametric (Anderson-Darling and overdispersion tests) and…
We analyze the extreme value dependence of independent, not necessarily identically distributed multivariate regularly varying random vectors. More specifically, we propose estimators of the spectral measure locally at some time point and…
In the matter of selection of sample time points for the estimation of the power spectral density of a continuous time stationary stochastic process, irregular sampling schemes such as Poisson sampling are often preferred over regular…
We consider the response of a finite string to white noise and obtain the exact time-dependent spectrum. The complete exact solution is obtained, that is, both the transient and steady-state solution. To define the time-varying spectrum we…
We present a new framework to study the time variation of fundamental constants in a model-independent way. Model independence implies more free parameters than assumed in previous studies. Using data from atomic clocks based on $^{87}$Sr,…
A useful approach for analysing multiple time series is via characterising their spectral density matrix as the frequency domain analog of the covariance matrix. When the dimension of the time series is large compared to their length,…
The periodogram is a popular tool that tests whether a signal consists only of noise or if it also includes other components. The main issue of this method is to define a critical detection threshold that allows identification of a…
Study of time series data often involves measuring the strength of temporal dependence, on which statistical properties like consistency and central limit theorem are built. Historically, various dependence measures have been proposed. In…
In financial time series there are periods in which the value increases or decreases monotonically. We call those periods elemental trends and study the probability distribution of their duration for the indices DJIA, NASDAQ and IPC. It is…
We analyze different data of the variation of the fine structure constant obtained with different methods to check their consistency.We test consistency using the modified Student test and confidence intervals. We split the data sets in…
This paper deals with the comparison of several stationary processes with unequal sample sizes. We provide a detailed theoretical framework on the testing problem for equality of spectral densities in the bivariate case, after which the…