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Discriminating Between Two Spectral Densities In Case Of Replicated Observations

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  • B. M. Pötscher
  • E. Reschenhofer

Abstract

. Coates and Diggle (1986) introduced a test procedure for the comparison of the spectral densities of two stationary processes. We extend this test to a situation in which replicated observations are available for each process.

Suggested Citation

  • B. M. Pötscher & E. Reschenhofer, 1988. "Discriminating Between Two Spectral Densities In Case Of Replicated Observations," Journal of Time Series Analysis, Wiley Blackwell, vol. 9(3), pages 221-224, May.
    • Handle: RePEc:bla:jtsera:v:9:y:1988:i:3:p:221-224
    DOI: 10.1111/j.1467-9892.1988.tb00466.x
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    Cited by:

    1. 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.
    2. 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.
    3. Mahmoudi, Mohammad Reza, 2021. "A computational technique to classify several fractional Brownian motion processes," Chaos, Solitons & Fractals, Elsevier, vol. 150(C).

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