IDEAS home Printed from https://ideas.repec.org/a/bla/jtsera/v16y1995i2p165-176.html
   My bibliography  Save this article

Testing Equality Of Variances For Paired Time Series

Author

Listed:
  • Jan Beran
  • Theo Gasser

Abstract

. We develop a simple test for testing equality of variances for paired stationary Gaussian time series. The test statistic is a modified z statistic. It is based on the periodograms of the two series and consistent estimation of the difference between the two spectral densities. Simulations illustrate the validity of the asymptotic results for finite samples. An application to EEG data is discussed.

Suggested Citation

  • Jan Beran & Theo Gasser, 1995. "Testing Equality Of Variances For Paired Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(2), pages 165-176, March.
    • Handle: RePEc:bla:jtsera:v:16:y:1995:i:2:p:165-176
    DOI: 10.1111/j.1467-9892.1995.tb00228.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1467-9892.1995.tb00228.x
    Download Restriction: no
    File URL: https://libkey.io/10.1111/j.1467-9892.1995.tb00228.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Peter J. Diggle & Nicholas I. Fisher, 1991. "Nonparametric Comparison of Cumulative Periodograms," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 40(3), pages 423-434, November.
    2. D. S. Coates & P. J. Diggle, 1986. "Tests For Comparing Two Estimated Spectral Densities," Journal of Time Series Analysis, Wiley Blackwell, vol. 7(1), pages 7-20, January.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Daniel Cirkovic & Thomas J. Fisher, 2021. "On testing for the equality of autocovariance in time series," Environmetrics, John Wiley & Sons, Ltd., vol. 32(7), November.
    2. Mahmoudi, Mohammad Reza, 2021. "A computational technique to classify several fractional Brownian motion processes," Chaos, Solitons & Fractals, Elsevier, vol. 150(C).
    3. Jentsch, Carsten & Pauly, Markus, 2012. "A note on using periodogram-based distances for comparing spectral densities," Statistics & Probability Letters, Elsevier, vol. 82(1), pages 158-164.
    4. Mahmoudi, Mohammad Reza & Heydari, Mohammad Hossein & Roohi, Reza, 2019. "A new method to compare the spectral densities of two independent periodically correlated time series," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 160(C), pages 103-110.
    5. Caiado, Jorge & Crato, Nuno & Peña, Daniel, 2009. "Comparison of time series with unequal length in the frequency domain," MPRA Paper 15310, University Library of Munich, Germany.
    6. Jorge Caiado & Nuno Crato & Pilar Poncela, 2020. "A fragmented-periodogram approach for clustering big data time series," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 14(1), pages 117-146, March.
    7. Alonso, Andres M. & Maharaj, Elizabeth A., 2006. "Comparison of time series using subsampling," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2589-2599, June.
    8. Preuß, Philip & Hildebrandt, Thimo, 2013. "Comparing spectral densities of stationary time series with unequal sample sizes," Statistics & Probability Letters, Elsevier, vol. 83(4), pages 1174-1183.
    9. Jin, Lei, 2021. "Robust tests for time series comparison based on Laplace periodograms," Computational Statistics & Data Analysis, Elsevier, vol. 160(C).
    10. Caiado, Jorge & Crato, Nuno & Peña, Daniel, 2007. "Comparison of time series with unequal length," MPRA Paper 6605, University Library of Munich, Germany.
    11. Casini, Alessandro & Perron, Pierre, 2024. "Change-point analysis of time series with evolutionary spectra," Journal of Econometrics, Elsevier, vol. 242(2).
    12. Shibin Zhang & Xin M. Tu, 2022. "Tests for comparing time‐invariant and time‐varying spectra based on the Anderson–Darling statistic," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 76(3), pages 254-282, August.
    13. Saxen, Henrik & Ostermark, Ralf, 1996. "State realization with exogenous variables - A test on blast furnace data," European Journal of Operational Research, Elsevier, vol. 89(1), pages 34-52, February.
    14. Knif, Johan & Pynnonen, Seppo & Luoma, Martti, 1995. "An analysis of lead-lag structures using a frequency domain approach: Empirical evidence from the Finnish and Swedish stock markets," European Journal of Operational Research, Elsevier, vol. 81(2), pages 259-270, March.
    15. Javier Hidalgo & Pedro Souza & Pedro Souza, 2013. "Testing for equality of an increasing number of spectral density functions," STICERD - Econometrics Paper Series 563, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    16. Caiado, Jorge & Crato, Nuno & Peña, Daniel, 2006. "An interpolated periodogram-based metric for comparison of time series with unequal lengths," MPRA Paper 2075, University Library of Munich, Germany.
    17. repec:cep:stiecm:/2013/563 is not listed on IDEAS
    18. Daniel M Keenan & Amy W Quinkert & Donald W Pfaff, 2015. "Stochastic Modeling of Mouse Motor Activity under Deep Brain Stimulation: The Extraction of Arousal Information," PLOS Computational Biology, Public Library of Science, vol. 11(2), pages 1-24, February.
    19. Last, Michael & Shumway, Robert, 2008. "Detecting abrupt changes in a piecewise locally stationary time series," Journal of Multivariate Analysis, Elsevier, vol. 99(2), pages 191-214, February.
    20. Michela Borghesi, 2020. "Metodi statistici per il confronto di serie storiche con applicazioni finanziarie," Working Papers 2020049, University of Ferrara, Department of Economics.
    21. Jin, Lei, 2011. "A data-driven test to compare two or multiple time series," Computational Statistics & Data Analysis, Elsevier, vol. 55(6), pages 2183-2196, June.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:16:y:1995:i:2:p:165-176. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.