Abstract Details
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Activity Number:
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597
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Type:
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Contributed
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Date/Time:
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Wednesday, August 7, 2013 : 2:00 PM to 3:50 PM
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Sponsor:
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Section on Nonparametric Statistics
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| Abstract - #310235 |
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Title:
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A Nonparametric Test to Compare the Autocorrelation Structure of Two Time Series
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Author(s):
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Lei Jin*+ and Suojin Wang
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Companies:
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McNeese State Univ and Texas A&M University
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Keywords:
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Autocovarianace ;
autocorrelation ;
consistency ;
local alternatives ;
nonparametric ;
time series
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Abstract:
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In the paper, an nonparametric test is proposed to check the equality of two stationary time series in terms of the correlation structure. The asymptotic distribution under the null is obtained. In addition, we showed the consistency of the test under any fixed alternative and local alternatives. A simulation study is conducted to examine the finite sample performance of the test.
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Authors who are presenting talks have a * after their name.
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