A note on using periodogram-based distances for comparing spectral densities

Carsten Jentsch and Markus Pauly

Statistics & Probability Letters, 2012, vol. 82, issue 1, 158-164

Abstract: Motivated by a recent paper of Caiado et al. (2009), we investigate testing problems for spectral densities of time series with unequal sample sizes. We thereby focus on analyzing their mathematical properties and illustrate our results in a small simulation study.

Keywords: Periodogram; Spectral density; Nonparametric tests (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2011.09.014

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