Tests for comparing time‐invariant and time‐varying spectra based on the Anderson–Darling statistic

Shibin Zhang and Xin M. Tu

Statistica Neerlandica, 2022, vol. 76, issue 3, 254-282

Abstract: Based on periodogram‐ratios of two univariate time series at different frequency points, two tests are proposed for comparing their spectra. One is an Anderson–Darling‐like statistic for testing the equality of two time‐invariant spectra. The other is the maximum of Anderson–Darling‐like statistics for testing the equality of two time‐varying spectra. Both of two tests are applicable for independent or dependent time series. Several simulation examples show that the proposed statistics outperform those that are also based on periodogram‐ratios but constructed by the Pearson‐like statistics.

Date: 2022
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