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

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.

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Year of publication:	2012
Authors:	Jentsch, Carsten ; Pauly, Markus
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 1, p. 158-164
Publisher:	Elsevier
Subject:	Periodogram \| Spectral density \| Nonparametric tests

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011039786