Distribution of the coates-diggle test statistic in case of replicated observations |
| |
Authors: | B. M. Potscher E. Reschenhgfer |
| |
Affiliation: | University of Technology Vienna |
| |
Abstract: | A closed form expression for the distribution of a test statistic for comparing the spectral densities of stationary processes is given. This test statistic was introduced by COATES and DIGGLE ( 1986 ) for the unreplicated case and has been extended to the case of replicated observations by POTSCHER and RESCHENHOFER ( 1988 ). A simple method for computing approximate critical values in case of large numbers of replications is also provided. As a by-product an explicit expression for the distribution function of the range of independent variates each distributed as the logarithm of an F-variate i.e up to a factor of 2 each followin Fishers z-distriution is obtained |
| |
Keywords: | Periodogram comparison of spectral densities replicated observations range of independent variates distributed as FISHER'S z-distribution |
|