"Homogeneity of Variance Test" for the Comparison of Two or More Spectra

Let [Zjt: j = 1, 2...k, t = 0 ±1 , ±2 , ...... .] be k independent stationary processes, with spectral density functions Szj(w), j = 1.2....k In many real wend situations there is a need to compare two or more spectra. Tests to compare spectra already exist in the literature In this paper we propose a test, based on Bartlett's modification of the likelihood ratio criterion, for comparing two or more spectra. Simulation studies show that for k=2 this test is comparable and in some cases better than existing test procedures. The performance of this test for k=3 is also assessed.


Issue Date:
Nov 01 1995
Publication Type:
Working or Discussion Paper
Language:
English
Total Pages:
39
Series Statement:
Working Paper 19/95




 Record created 2018-02-02, last modified 2018-02-03

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