Now showing items 1-3 of 3
Bayesian Decision Theoretic Scale-Adaptive Estimation of a Log-Spectral Density
(Georgia Institute of Technology, 2003)
The problem of estimating the log-spectrum of a stationary Gaussian time series by Bayesianly induced shrinkage of empirical wavelet coefficients is studied. A model in the wavelet domain that accounts for distributional ...
Testing Equality of Stationary Autocovariances
(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 ...
Testing Equality of Autocovariance Functions
(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 ...