Nonparametric two sample test of spectral densities
Statistics Theory
2026-02-12 v1 Statistics Theory
Abstract
A novel nonparametric test for the equality of the covariance matrices of two Gaussian stationary processes, possibly of different lengths, is proposed. The test translates to testing the equality of two spectral densities and is shown to be minimax rate-optimal. Test performance is validated in a simulation study, and the practical utility is demonstrated in the analysis of real electroencephalography data. The test is implemented in the R-package sdf.test.
Keywords
Cite
@article{arxiv.2602.10774,
title = {Nonparametric two sample test of spectral densities},
author = {Ilaria Nadin and Tatyana Krivobokova and Farida Enikeeva},
journal= {arXiv preprint arXiv:2602.10774},
year = {2026}
}