• Testing Equality of Autocovariance Functions 

      Lund, Robert; Vidakovic, Brani; Vidyashankar, Anand N. (Georgia Institute of Technology, 2004-09-22)
      This paper introduces a simple frequency domain test to discern whether two stationary time series have the same autocovariance function. The driving idea is that two stationary short-memory autocovariances coincide over ...
    • Testing Equality of Stationary Autocovariances 

      Lund, Robert; Bassily, Hany; Vidakovic, Brani (Georgia Institute of Technology, 2007-08-09)
      This paper studies tests for assessing whether two stationary and independent time series have the same dynamics, specifically, whether the autocovariances of both series coincide at all lags. Several frequency domain ...