2 papers
math.ST2013
Measuring stationarity in long-memory processes
Kemal Sen, Philip Preuss, Holger Dette
In this paper we consider the problem of measuring stationarity in locally stationary long-memory processes. We introduce an -distance between the spectral density of the loca…
math.ST2012
Comparing spectral densities of stationary time series with unequal sample sizes
Philip Preuß, Thimo Hildebrandt
This paper deals with the comparison of several stationary processes with unequal sample sizes. We provide a detailed theoretical framework on the testing problem for equality of s…