کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
415809 681240 2012 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Comparing non-stationary and irregularly spaced time series
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر نظریه محاسباتی و ریاضیات
پیش نمایش صفحه اول مقاله
Comparing non-stationary and irregularly spaced time series
چکیده انگلیسی

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.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 56, Issue 12, December 2012, Pages 3921–3934
نویسندگان
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