Tests for the Equality of Two Processes' Spectral Densities with Unequal Lengths Using Wavelet Methods

Testing procedures for assessing whether two stationary and independent linear processes with unequal lengths have the same spectral densities or same auto‐covariance functions are investigated. New test statistics are proposed based on the difference of the two wavelet‐based estimates of the two spectral densities. The asymptotic normal distributions of the empirical wavelet coefficients are derived based on Bartlett type approximation of a quadratic form with dependent variables by the corresponding quadratic form with independent and identically distributed (i.i.d.) random variables. The limit distributions of the proposed test statistics are derived from those asymptotic results, and they asymptotically follow known chi‐square distributions. The advantage of those new procedures is that those test statistics are constructed very simply and can be used for two time series with arbitrary lengths. The performance of those new tests is compared with some recent test statistics, with respect to their exact levels and powers. Simulation studies show that our proposed tests are very comparable to the current tests