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 ...

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 ...

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 ...