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"Homogeneity of Variance Test" For the Comparison of Two or More Spectra

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journal contribution
posted on 06.06.2017, 02:22 by Maharaj, E. A., Singh, N., Inder, Brett A.
Let {Zjt : j = 1,2...k, t = 0 ±1, ±2,.......} be k independent stationary processes, with spectral density functions Szj(w) ,j = 1.2....k. In many real world situations there is a need to compare two or more spectra. Tests to compare spectra already exist in the literature. In this paper we propose a test, based on Bartlett's modification of the likelihood ratio criterion, for comparing two or more spectra. Simulation studies show that for k=2 this test is comparable and in some cases better than exiting test procedures. The performance of this test for k=3 is also assessed.


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Department of Econometrics.

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