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arXiv · 1705.04821

Tests for comparing time-invariant and time-varying spectra based on the Anderson-Darling statistic

Shibin Zhang·Xin M. Tu
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Abstract

Based on periodogram-ratios of two univariate time series at different frequency points, two tests are proposed for comparing their spectra. One is an Anderson-Darling-like statistic for testing the equality of two time-invariant spectra. The other is the maximum of Anderson-Darling-like statistics for testing the equality of two spectra no matter that they are time-invariant and time-varying. Both of two tests are applicable for independent or dependent time series. Several simulation examples show that the proposed statistics outperform those that are also based on periodogram-ratios but constructed by the Pearson-like statistics.

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Shibin Zhang, Xin M. Tu. 2017-05-13. Tests for comparing time-invariant and time-varying spectra based on the Anderson-Darling statistic. https://arxiv.org/abs/1705.04821

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