Bernoulli

  • Bernoulli
  • Volume 21, Number 2 (2015), 697-739.

Testing equality of spectral densities using randomization techniques

Carsten Jentsch and Markus Pauly

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Abstract

In this paper, we investigate the testing problem that the spectral density matrices of several, not necessarily independent, stationary processes are equal. Based on an $L_{2}$-type test statistic, we propose a new nonparametric approach, where the critical values of the tests are calculated with the help of randomization methods. We analyze asymptotic exactness and consistency of these randomization tests and show in simulation studies that the new procedures posses very good size and power characteristics.

Article information

Source
Bernoulli, Volume 21, Number 2 (2015), 697-739.

Dates
First available in Project Euclid: 21 April 2015

Permanent link to this document
https://projecteuclid.org/euclid.bj/1429624958

Digital Object Identifier
doi:10.3150/13-BEJ584

Mathematical Reviews number (MathSciNet)
MR3338644

Zentralblatt MATH identifier
1320.62081

Keywords
multivariate time series nonparametric tests periodogram matrix randomization tests spectral density matrix

Citation

Jentsch, Carsten; Pauly, Markus. Testing equality of spectral densities using randomization techniques. Bernoulli 21 (2015), no. 2, 697--739. doi:10.3150/13-BEJ584. https://projecteuclid.org/euclid.bj/1429624958


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Supplemental materials

  • Supplementary material: Supplement to “Testing equality of spectral densities using randomization techniques”. In the supplement to the current paper (cf. Jentsch and Pauly [17]), we provide additional supporting simulations for the asymptotic test and all three randomization tests under consideration in a variety of examples.