Comparison of non-stationary time series in the frequency domain

被引：50
|
作者：
Maharaj, EA [1 ]
机构：
[1] Monash Univ, Dept Econometr & Business Stat, Melbourne, Vic 3145, Australia
来源：
COMPUTATIONAL STATISTICS & DATA ANALYSIS | 2002年 / 40卷 / 01期
关键词：
evolutionary spectra; lag window; time window; randomization tests;
D O I：
10.1016/S0167-9473(01)00100-1
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
In this paper we compare two non-stationary time series using non-parametric procedures. Evolutionary spectra are estimated for the two series. Randomization tests are performed on groups of spectral estimates for both related and independent time series. Simulation studies show that in certain cases the tests perform reasonably well. The tests are applied to observed geological and financial time series. (C) 2002 Elsevier Science B.V. All rights reserved.
引用
收藏
页码：131 / 141
页数：11
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