A Theory for Multiresolution Signal Decomposition: The Wavelet Representation
IEEE Transactions on Pattern Analysis and Machine Intelligence
A test for a difference between spectral peak frequencies
Computational Statistics & Data Analysis
Calculating the density and distribution function for the singly and doubly noncentral F
Statistics and Computing
Comparison of non-stationary time series in the frequency domain
Computational Statistics & Data Analysis
Computational Statistics & Data Analysis
Polarization of forecast densities: A new approach to time series classification
Computational Statistics & Data Analysis
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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.