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Activity Number:
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622
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Type:
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Contributed
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Date/Time:
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Wednesday, August 3, 2016 : 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 #319794
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Title:
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A Nonparametric Bootstrap Test for Checking the Equality of the Correlation Structures of Two Correlated 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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Texas A&M University - Corpus Christi and Texas A&M University
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Keywords:
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Bootstrap ;
Correlation ;
Order selection ;
Time series
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Abstract:
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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.
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Authors who are presenting talks have a * after their name.
