Publikation: Testing equality of variances for paired time series
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Datum
1995
Autor:innen
Gasser, Theo
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Journal of Time Series Analysis. 1995, 16(2), pp. 165-176. ISSN 0143-9782. Available under: doi: 10.1111/j.1467-9892.1995.tb00228.x
Zusammenfassung
We develop a simple test for testing equality of variances for paired stationary Gaussian time series. The test statistic is a modified z statistic. It is based on the periodograms of the two series and consistent estimation of the difference between the two spectral densities. Simulations illustrate the validity of the asymptotic results for finite samples. An application to EEG data is discussed.
Zusammenfassung in einer weiteren Sprache
Fachgebiet (DDC)
510 Mathematik
Schlagwörter
Periodogram, spectral density, EEG, paired data, cross-spectrum
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BERAN, Jan, Theo GASSER, 1995. Testing equality of variances for paired time series. In: Journal of Time Series Analysis. 1995, 16(2), pp. 165-176. ISSN 0143-9782. Available under: doi: 10.1111/j.1467-9892.1995.tb00228.xBibTex
@article{Beran1995Testi-18825, year={1995}, doi={10.1111/j.1467-9892.1995.tb00228.x}, title={Testing equality of variances for paired time series}, number={2}, volume={16}, issn={0143-9782}, journal={Journal of Time Series Analysis}, pages={165--176}, author={Beran, Jan and Gasser, Theo} }
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