Publikation:

Testing equality of variances for paired time series

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1995

Autor:innen

Gasser, Theo

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Published

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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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ISO 690BERAN, 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.x
BibTex
@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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