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On Comparing Several Spectral Densities

Summary: [This abstract is based on the authors' abstract.] Testing quality among spectral densities of several independent stationary processes is the focus of this study. A semiparametric lot-linear model is proposed that links all of the spectral densities under consideration. With the problem of testing equality of several spectral density functions reduced to a parametric problem, the large-sample theory of the maximum likelihood estimator was studied and was found to be asymptotically normal, even when the model is misspecified. Results are applicable to a variety of models, including linear and nonlinear processes.

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  • Topics: Design of Experiments
  • Keywords: Asymptotics, Likelihood methods, Linear models, Simulations, Stationary process, Time series
  • Author: Fokianos, Konstantinos; Savvides, Alexios
  • Journal: Technometrics