Nonparametric functionals of spectral distributions and their applications to time series analysis
نویسندگان
چکیده
There is a close analogy between empirical distributions of i.i.d. random variables and normalized spectral distributions of widesense stationary processes. Herein we make use of this analogy to develop nonparametric comparisons of two spectral distributions and nonparametric tests of stationarity versus change-point alternatives via spectral analysis of a time series. © 2006 Elsevier B.V. All rights reserved. MSC: 62M15; 62M10; 62G20
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تاریخ انتشار 2006