Tests for comparing time series of unequal lengths

Detalhes bibliográficos
Autor(a) principal: Caiado, Jorge
Data de Publicação: 2012
Outros Autores: Crato, Nuno, Peña, Daniel
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/27636
Resumo: This paper deals with hypothesis testing for independent time series with unequal length. It proposes a spectral test based on the distance between the periodogram ordinates and a parametric test based on the distance between the parameter estimates of fitted autoregressive moving average models. Both tests are compared with a likelihood ratio test based on the pooled spectra. In all cases, the null hypothesis is that the two series under consideration are generated by the same stochastic process. The performance of the three tests is investigated by a Monte Carlo simulation study.
id RCAP_36d4dad0da68b04491a54bd998195ea2
oai_identifier_str oai:www.repository.utl.pt:10400.5/27636
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Tests for comparing time series of unequal lengthsHypothesis TestingARMA ModelsSpectral AnalysisThis paper deals with hypothesis testing for independent time series with unequal length. It proposes a spectral test based on the distance between the periodogram ordinates and a parametric test based on the distance between the parameter estimates of fitted autoregressive moving average models. Both tests are compared with a likelihood ratio test based on the pooled spectra. In all cases, the null hypothesis is that the two series under consideration are generated by the same stochastic process. The performance of the three tests is investigated by a Monte Carlo simulation study.Taylor & Francis GroupRepositório da Universidade de LisboaCaiado, JorgeCrato, NunoPeña, Daniel2023-04-17T12:25:46Z20122012-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/27636engCaiado, Jorge, Nuno Crato and Daniel Peña .(2012). “Tests for comparing time series of unequal lengths”. Journal of Statistical Computation and Simulation, Vol. 82, No. 12: pp. 1715–1725. (Search PDF in 2023).1563-5163 (Online)10.1080/00949655.2011.592985info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-04-23T01:30:49Zoai:www.repository.utl.pt:10400.5/27636Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:50:08.605635Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Tests for comparing time series of unequal lengths
title Tests for comparing time series of unequal lengths
spellingShingle Tests for comparing time series of unequal lengths
Caiado, Jorge
Hypothesis Testing
ARMA Models
Spectral Analysis
title_short Tests for comparing time series of unequal lengths
title_full Tests for comparing time series of unequal lengths
title_fullStr Tests for comparing time series of unequal lengths
title_full_unstemmed Tests for comparing time series of unequal lengths
title_sort Tests for comparing time series of unequal lengths
author Caiado, Jorge
author_facet Caiado, Jorge
Crato, Nuno
Peña, Daniel
author_role author
author2 Crato, Nuno
Peña, Daniel
author2_role author
author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Caiado, Jorge
Crato, Nuno
Peña, Daniel
dc.subject.por.fl_str_mv Hypothesis Testing
ARMA Models
Spectral Analysis
topic Hypothesis Testing
ARMA Models
Spectral Analysis
description This paper deals with hypothesis testing for independent time series with unequal length. It proposes a spectral test based on the distance between the periodogram ordinates and a parametric test based on the distance between the parameter estimates of fitted autoregressive moving average models. Both tests are compared with a likelihood ratio test based on the pooled spectra. In all cases, the null hypothesis is that the two series under consideration are generated by the same stochastic process. The performance of the three tests is investigated by a Monte Carlo simulation study.
publishDate 2012
dc.date.none.fl_str_mv 2012
2012-01-01T00:00:00Z
2023-04-17T12:25:46Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/27636
url http://hdl.handle.net/10400.5/27636
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Caiado, Jorge, Nuno Crato and Daniel Peña .(2012). “Tests for comparing time series of unequal lengths”. Journal of Statistical Computation and Simulation, Vol. 82, No. 12: pp. 1715–1725. (Search PDF in 2023).
1563-5163 (Online)
10.1080/00949655.2011.592985
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Taylor & Francis Group
publisher.none.fl_str_mv Taylor & Francis Group
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799131581142532096

Registros relacionados