一种检验独立平稳时间序列谱密度一致性的方法

A Testing for Equality of Spectral Densities of Independent Stationary Time Series

主要讨论两个独立平稳时间序列谱密度一致性检验问题.根据周期图的分布性质,构造了新的检验统计量,在两个谱密度相等的假设下,得到统计量渐进服从正态分布.模拟显示:本文统计量的经验势优于Dette et al的统计量.对8组Frmi(功能性磁共振成像)血液氧化水平信号进行谱密度的一致性检验,发现本文的检验统计量比Dette et al中的统计量有效.

A testing for equality of spectral densities of two independent stationary time series is mainly concerned.According to the distribution properties of the periodogram,a new test statistic is proposed.Under the assumption that the two spectral densities are equal,the asymptotic normality of the statistic is obtained.The simulation shows that the proposed statistic is superior to that of Dette et al in aspect of the empirical powers.It is found that the proposed statistic is more effective than that of Dette et al when testing equality of spectral densities for 8groups of Fmri blood oxidizing level signals.