Comparing non-stationary and irregularly spaced time series
| Contribuinte(s) |
UNIVERSIDADE DE SÃO PAULO |
|---|---|
| Data(s) |
05/11/2013
05/11/2013
2012
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| Resumo |
In this paper, we present approximate distributions for the ratio of the cumulative wavelet periodograms considering stationary and non-stationary time series generated from independent Gaussian processes. We also adapt an existing procedure to use this statistic and its approximate distribution in order to test if two regularly or irregularly spaced time series are realizations of the same generating process. Simulation studies show good size and power properties for the test statistic. An application with financial microdata illustrates the test usefulness. We conclude advocating the use of these approximate distributions instead of the ones obtained through randomizations, mainly in the case of irregular time series. (C) 2012 Elsevier B.V. All rights reserved. CNPq CNPq FAPESP FAPESP [2008/51097-6] University of Quindio University of Quindio Bank of Brazil Bank of Brazil |
| Identificador |
COMPUTATIONAL STATISTICS & DATA ANALYSIS, AMSTERDAM, v. 56, n. 12, supl. 1, Part 6, pp. 3921-3934, DEC, 2012 0167-9473 http://www.producao.usp.br/handle/BDPI/41334 10.1016/j.csda.2012.05.022 |
| Idioma(s) |
eng |
| Publicador |
ELSEVIER SCIENCE BV AMSTERDAM |
| Relação |
COMPUTATIONAL STATISTICS & DATA ANALYSIS |
| Direitos |
closedAccess Copyright ELSEVIER SCIENCE BV |
| Palavras-Chave | #HYPOTHESIS TESTING #IRREGULARLY SPACED TIME SERIES #LOCALLY STATIONARY WAVELET PROCESSES #MULTIRESOLUTION APPROXIMATION #DISTRIBUTIONS OF QUADRATIC FORMS #NORMAL VARIABLES #QUADRATIC-FORMS #REGRESSION #WAVELETS #ERRORS #COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS #STATISTICS & PROBABILITY |
| Tipo |
article original article publishedVersion |
