TESTS FOR COMPARING TWO ESTIMATED SPECTRAL DENSITIES

D. S. Coates, P. J. Diggle

Research output: Contribution to journalArticle

Abstract

Abstract. This paper was motivated by a problem in the gas industry and describes a number of periodogram‐based tests of the hypothesis that two independent time‐series are realizations of the same stationary process. Non‐parametric tests analogous to the maximum periodogram ordinate and cumulative periodogram tests for white noise are compared with a likelihood ratio test based on a postulated quadratic model for the log spectral ratio. The latter is found to be generally more powerful against alternatives in which the two series are realizations of different low order AR processes. The operation of the likelihood ratio test is illustrated by two sets of data, the classic Beveridge wheat price series and a set of data supplied by British Gas.

Original languageEnglish (US)
Pages (from-to)7-20
Number of pages14
JournalJournal of Time Series Analysis
Volume7
Issue number1
DOIs
StatePublished - 1986
Externally publishedYes

Fingerprint

Periodogram
Spectral density
Spectral Density
Gas industry
Likelihood Ratio Test
White noise
Ordinate
Series
Non-parametric test
Wheat
Stationary Process
Industry
Alternatives
Likelihood ratio test
Model
Gas
Stationary process
Nonparametric test

Keywords

  • Likelihood ratio test
  • logistic distribution
  • spectral analysis

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

Cite this

TESTS FOR COMPARING TWO ESTIMATED SPECTRAL DENSITIES. / Coates, D. S.; Diggle, P. J.

In: Journal of Time Series Analysis, Vol. 7, No. 1, 1986, p. 7-20.

Research output: Contribution to journalArticle

Coates, D. S. ; Diggle, P. J. / TESTS FOR COMPARING TWO ESTIMATED SPECTRAL DENSITIES. In: Journal of Time Series Analysis. 1986 ; Vol. 7, No. 1. pp. 7-20.
@article{28ca4ea96cd24155a79b5bd15ad456b8,
title = "TESTS FOR COMPARING TWO ESTIMATED SPECTRAL DENSITIES",
abstract = "Abstract. This paper was motivated by a problem in the gas industry and describes a number of periodogram‐based tests of the hypothesis that two independent time‐series are realizations of the same stationary process. Non‐parametric tests analogous to the maximum periodogram ordinate and cumulative periodogram tests for white noise are compared with a likelihood ratio test based on a postulated quadratic model for the log spectral ratio. The latter is found to be generally more powerful against alternatives in which the two series are realizations of different low order AR processes. The operation of the likelihood ratio test is illustrated by two sets of data, the classic Beveridge wheat price series and a set of data supplied by British Gas.",
keywords = "Likelihood ratio test, logistic distribution, spectral analysis",
author = "Coates, {D. S.} and Diggle, {P. J.}",
year = "1986",
doi = "10.1111/j.1467-9892.1986.tb00482.x",
language = "English (US)",
volume = "7",
pages = "7--20",
journal = "Journal of Time Series Analysis",
issn = "0143-9782",
publisher = "Wiley-Blackwell",
number = "1",

}

TY - JOUR

T1 - TESTS FOR COMPARING TWO ESTIMATED SPECTRAL DENSITIES

AU - Coates, D. S.

AU - Diggle, P. J.

PY - 1986

Y1 - 1986

N2 - Abstract. This paper was motivated by a problem in the gas industry and describes a number of periodogram‐based tests of the hypothesis that two independent time‐series are realizations of the same stationary process. Non‐parametric tests analogous to the maximum periodogram ordinate and cumulative periodogram tests for white noise are compared with a likelihood ratio test based on a postulated quadratic model for the log spectral ratio. The latter is found to be generally more powerful against alternatives in which the two series are realizations of different low order AR processes. The operation of the likelihood ratio test is illustrated by two sets of data, the classic Beveridge wheat price series and a set of data supplied by British Gas.

AB - Abstract. This paper was motivated by a problem in the gas industry and describes a number of periodogram‐based tests of the hypothesis that two independent time‐series are realizations of the same stationary process. Non‐parametric tests analogous to the maximum periodogram ordinate and cumulative periodogram tests for white noise are compared with a likelihood ratio test based on a postulated quadratic model for the log spectral ratio. The latter is found to be generally more powerful against alternatives in which the two series are realizations of different low order AR processes. The operation of the likelihood ratio test is illustrated by two sets of data, the classic Beveridge wheat price series and a set of data supplied by British Gas.

KW - Likelihood ratio test

KW - logistic distribution

KW - spectral analysis

UR - http://www.scopus.com/inward/record.url?scp=84986738332&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84986738332&partnerID=8YFLogxK

U2 - 10.1111/j.1467-9892.1986.tb00482.x

DO - 10.1111/j.1467-9892.1986.tb00482.x

M3 - Article

VL - 7

SP - 7

EP - 20

JO - Journal of Time Series Analysis

JF - Journal of Time Series Analysis

SN - 0143-9782

IS - 1

ER -