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
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
相关论文
共 50 条
  • [31] Testing serial correlation in semiparametric time series models
    Li, DD
    Stengos, T
    JOURNAL OF TIME SERIES ANALYSIS, 2003, 24 (03) : 311 - 335
  • [32] Comparing null models for testing multifractality in time series
    Gao, Xing-Lu
    Jiang, Zhi-Qiang
    Zhou, Wei-Xing
    Stanley, H. Eugene
    EPL, 2019, 125 (01)
  • [33] Testing for changes in autocovariances of nonparametric time series models
    Li, Xiaoye
    Zhao, Zhibiao
    JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2013, 143 (02) : 237 - 250
  • [34] On robust testing for conditional heteroscedasticity in time series models
    Duchesne, P
    COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2004, 46 (02) : 227 - 256
  • [35] AN APPROACH TO TESTING LINEAR TIME-SERIES MODELS
    POSKITT, DS
    TREMAYNE, AR
    ANNALS OF STATISTICS, 1981, 9 (05): : 974 - 986
  • [36] The Set of Ternary Time Series Forecasting Models Based on the Difference
    Feng, Hao
    Wang, Hong-xu
    Yin, Cheng-guo
    Lu, Xiao-li
    INTERNATIONAL CONFERENCE ON MATHEMATICS, MODELLING AND SIMULATION TECHNOLOGIES AND APPLICATIONS (MMSTA 2017), 2017, 215 : 9 - 12
  • [37] A Set of Time Series Prediction Models Based on Difference Method
    Lu, Xiaoli
    Wang, Hongxu
    Yin, Chengguo
    Feng, Hao
    PROCEEDINGS OF THE 2017 INTERNATIONAL CONFERENCE ON APPLIED MATHEMATICS, MODELING AND SIMULATION (AMMS 2017), 2017, 153 : 135 - 138
  • [38] Set of Time Series Forecasting Models Using the Ordered Difference
    Wang, Hongxu
    Yin, Chengguo
    Lu, Xiaoli
    Feng, Hao
    Fu, Xiaofang
    PROCEEDINGS OF THE 2017 INTERNATIONAL CONFERENCE ON APPLIED MATHEMATICS, MODELING AND SIMULATION (AMMS 2017), 2017, 153 : 124 - 127
  • [39] A Set of Time Series Forecasting Models Based on the Ordered Difference
    Wang, Hongxu
    Yin, Chengguo
    Lu, Xiaoli
    Feng, Hao
    Fu, Xiaofang
    PROCEEDINGS OF THE 2017 INTERNATIONAL CONFERENCE ON APPLIED MATHEMATICS, MODELING AND SIMULATION (AMMS 2017), 2017, 153 : 128 - 131
  • [40] INTERACTION BETWEEN 2 INDEPENDENT RECURRENT TIME SERIES
    TENHOOPEN, M
    REUVER, HA
    INFORMATION AND CONTROL, 1967, 10 (02): : 149 - +