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

作者：Jentsch Carsten; Pauly Markus^*

来源：STATISTICS %26 PROBABILITY LETTERS, 2012, 82(1): 158-164.

DOI：10.1016/j.spl.2011.09.014

• Periodogram
• Spectral density
• Nonparametric tests

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.

• 出版日期2012-1