TESTING EQUALITY OF VARIANCES FOR PAIRED TIME SERIES

Jan Beran and Theo Gasser

Journal of Time Series Analysis, 1995, vol. 16, issue 2, 165-176

Abstract: Abstract. We develop a simple test for testing equality of variances for paired stationary Gaussian time series. The test statistic is a modified z statistic. It is based on the periodograms of the two series and consistent estimation of the difference between the two spectral densities. Simulations illustrate the validity of the asymptotic results for finite samples. An application to EEG data is discussed.

Date: 1995
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https://doi.org/10.1111/j.1467-9892.1995.tb00228.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:16:y:1995:i:2:p:165-176

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