Testing the Difference between Two Independent Time Series Models

被引：38
|
作者：
Mahmoudi, Mohammad Reza [1 ]
Maleki, Mohsen [2 ]
Pak, Abbas [3 ]
机构：
[1] Fasa Univ, Dept Stat, Fac Sci, Fasa, Iran
[2] Shiraz Univ, Shiraz, Iran
[3] Shahrekord Univ, Fac Math Sci, Dept Comp Sci, POB 115, Shahrekord, Iran
来源：
IRANIAN JOURNAL OF SCIENCE AND TECHNOLOGY TRANSACTION A-SCIENCE | 2017年 / 41卷 / A3期
关键词：
Asymptotic; ARMA processes; Simulation; Simultaneous inference; Time series; DISCRIMINATION; INFERENCE; RATIO;
D O I：
10.1007/s40995-017-0288-8
中图分类号：
O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];
学科分类号：
07 ; 0710 ; 09 ;
摘要：
In some situations, for example in biology, economic, electronic, finance and management, researchers wish to determine whether the two time series are generated by the same stochastic mechanism or their random behavior differs. In this work, the asymptotic distribution for the difference of two independent ARMA coefficients is established. The presented method can be used to derive the asymptotic confidence set for the difference of coefficients and hypothesis testing for the equality of two time series. Then the Monte Carlo simulation study is provided to investigate the performance of proposed method. The performance of the new method is comparable with alternative method.
引用
收藏
页码：665 / 669
页数：5
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