Comparing non-stationary and irregularly spaced time series

Autor(es)

Salcedo, Gladys E. ^[1] ; Porto, Rogerio F. ^[2] ; Morettin, Pedro A. ^[3]

Afiliação do(s) autor(es)

^[1] Univ Quindio, Dept Math, Armenia 460 - Colombia

^[2] Bank Brazil, Brasilia, DF - Brazil

^[3] Univ Sao Paulo, Inst Math & Stat, BR-05508 Sao Paulo - Brazil

• Tipo de documento: Artigo Científico
• Fonte: COMPUTATIONAL STATISTICS & DATA ANALYSIS; v. 56, n. 12, p. 3921-3934, DEC 2012.
• Citações Web of Science: 2

Resumo

In this paper, we present approximate distributions for the ratio of the cumulative wavelet periodograms considering stationary and non-stationary time series generated from independent Gaussian processes. We also adapt an existing procedure to use this statistic and its approximate distribution in order to test if two regularly or irregularly spaced time series are realizations of the same generating process. Simulation studies show good size and power properties for the test statistic. An application with financial microdata illustrates the test usefulness. We conclude advocating the use of these approximate distributions instead of the ones obtained through randomizations, mainly in the case of irregular time series. (C) 2012 Elsevier B.V. All rights reserved. (AU)

• Processo FAPESP: 08/51097-6 - Séries temporais, análise de dependência e aplicações
• Beneficiário: Pedro Alberto Morettin
• Modalidade de apoio: Auxílio à Pesquisa - Temático