A New Test for Checking the Equality of the Correlation Structures of two time Series

DOI10.1111/jtsa.12162zbMath1381.62248OpenAlexW2135846711MaRDI QIDQ2802913

Lei Jin, Suojin Wang

Publication date: 3 May 2016

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12162

zbMATH Keywords

spectral densityautocorrelationlocal alternativeorder selection test

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

A computational bootstrap procedure to compare two dependent time series ⋮ Tests for the Equality of Two Processes' Spectral Densities with Unequal Lengths Using Wavelet Methods ⋮ Robust tests for time series comparison based on Laplace periodograms

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