• 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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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.

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

First available in Project Euclid: 21 April 2015

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


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

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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.