期刊
JOURNAL OF TIME SERIES ANALYSIS
卷 37, 期 3, 页码 355-368出版社
WILEY
DOI: 10.1111/jtsa.12162
关键词
Autocorrelation; local alternative; order selection test; spectral density
An order selection test is proposed to check the equality of two independent stationary time series in their correlation structures. The asymptotic distribution of the order selection test statistic under the null hypothesis is obtained. Furthermore, it is shown that the proposed test is consistent not only under any fixed alternative hypothesis but also under a sequence of local alternative hypotheses. A simulation study is conducted to examine the finite sample performance of the test in comparison to some existing methods. The proposed test is also applied to an analysis of a biomedical data set.
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