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Activity Number: 622
Type: Contributed
Date/Time: Wednesday, August 3, 2016 : 2:00 PM to 3:50 PM
Sponsor: Section on Nonparametric Statistics
Abstract #319794
Title: A Nonparametric Bootstrap Test for Checking the Equality of the Correlation Structures of Two Correlated Time Series
Author(s): Lei Jin* and Suojin Wang
Companies: Texas A&M University - Corpus Christi and Texas A&M University
Keywords: Bootstrap ; Correlation ; Order selection ; Time series

In this paper, a non-parametric bootstrap test is proposed to check the equality of two time series in their correlation structures. These two time series may be correlated. The asymptotic distribution of the test statistic under the null hypothesis is obtained. A simulation study is conducted to examine the finite sample performance of the test.

Authors who are presenting talks have a * after their name.

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