网站地图 | 联系我们 | English | 意见反馈 | 主任信箱
 
首页 中心概况 新闻动态 科研进展 交流合作 人才培养 研究队伍 人才招聘 政策规章 数学交叉科学传播
学术报告
现在位置:首页 > 学术报告

A new nonparametric test for checking the equality of the correlation structures of two time series
【2016.12.14 4:00pm, N613】

【打印】【关闭】

 2016-12-6 

  Colloquia & Seminars 

  Speaker

Prof. Suojin Wang, Texas A&M University

  Title

A new nonparametric test for checking the equality of the correlation structures of two time series 

  Time

2016.12.14 16:00-17:00

  Venue

N613

  Abstract

In this talk, we consider an order selection test to check the equality of two independent stationary time series in their correlation structures. The asymptotic distribution of the order selection test statistic under the null hypothesis is obtained. For many existing tests, consistency against general alternative hypotheses has not been established. On the other hand, we show that the proposed test is consistent not only under any fixed alternative hypothesis but also under a sequence of local alternative hypotheses. A simulation study is conducted to examine the finite sample performance of the test in comparison to some existing methods. We also apply the proposed test to an analysis of a biomedical data set.    

  Affiliation

 

欢迎访问国家数学与交叉科学中心 
地址:北京海淀区中关村东路55号 邮编:100190 电话: 86-10-62613242 Fax: 86-10-62616840 邮箱: ncmis@amss.ac.cn