|
|||||
|
|
Testing the difference between spectral densities of two independent periodically correlated (cyclostationary) time series models |
|
| Authors: | Mohammad Reza Mahmoudi Zakieh Avazzadeh |
| Institution: | 1. Department of Statistics, Faculty of Science, Fasa University, Moheb Blvd, Fasa, Fars, Iran;2. Institute of Mathematics, School of Mathematical Sciences, Nanjing Normal University, Nanjing, China |
| Abstract: | In this work, the asymptotic distribution for the discrete Fourier transform of periodically correlated (PC) processes is applied to test the equality of two PC time series. Then the performance of the proposed method is investigated through the Monte Carlo simulations. |
| Keywords: | Comparison discrete Fourier transform periodically correlated processes test of hypothesis time series |