Nonparametric Comparison of Cumulative Periodograms

Peter J. Diggle and Nicholas I. Fisher

Journal of the Royal Statistical Society Series C, 1991, vol. 40, issue 3, 423-434

Abstract: Motivated by a problem in the analysis of hormonal time series data, this paper proposes a simple graphical method for comparing two periodograms and describes a new nonparametric approach to testing the hypothesis that the two underlying spectra are the same. Simulation studies show that the new test has power characteristics that are competitive with existing procedures. The relative merits of nonparametric and semiparametric tests are discussed.

Date: 1991
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