Bounded Area Tests For Comparing The Dynamics Between ARMA Processes

Ferebee Tunno

Communications in Statistics - Theory and Methods, 2015, vol. 44, issue 18, 3921-3941

Abstract: This article presents a new test for discerning whether or not two independent autoregressive moving average (ARMA) processes have the same autocovariance structure. This test utilizes a specific geometric feature of a time series plot, namely the area bounded between the line segments that connect adjacent points and the time axis. It will be shown that if you sample two ARMA processes and calculate the magnitudes of the two resulting bounded areas, then a significant difference among these areas tends to imply a significant difference in autocovariances.

Date: 2015
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DOI: 10.1080/03610926.2013.837184

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