Testing the Equality of Multiple Spectral Densities of Time Series in the Frequency Domain

• Activity Number: 497
• Type: Contributed
• Date/Time: Wednesday, August 12, 2015 : 8:30 AM to 10:20 AM
• Sponsor: Section on Nonparametric Statistics
• Author(s): Lei Jin*
• Companies: Texas A&M University
• Keywords: damage detection ; local alternatives ; nonparametric ; spectral densities ; time series

Abstract

In this paper, a new nonparametric test is proposed to check the equality of multiple spectral densities of time series data. The asymptotic null distribution of the proposed statistic is obtained. In addition, we study the asymptotic properties of the test under the alternatives. We show that the proposed test is consistent under a sequence of local alternative hypotheses. A simulation study is conducted to examine the finite sample performance of the proposed test. An application for damage detection in a mechanical system is discussed.