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Communications in Statistics - Theory and Methods Volume 48, 2019 - Issue 9
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Original Articles

Testing the difference between spectral densities of two independent periodically correlated (cyclostationary) time series models

Mohammad Reza MahmoudiDepartment of Statistics, Faculty of Science, Fasa University, Moheb Blvd, Fasa, Fars, Iran; Correspondence[email protected]
,
Mohammad Hossein HeydariDepartment of Mathematics, Shiraz University of Technology, Shiraz, Fars, Iran; Correspondence[email protected]
&
Zakieh AvazzadehInstitute of Mathematics, School of Mathematical Sciences, Nanjing Normal University, Nanjing, China
Pages 2320-2328 | Received 13 Apr 2017, Accepted 25 Apr 2018, Published online: 08 Oct 2018
 
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Abstract

In this work, the asymptotic distribution for the discrete Fourier transform of periodically correlated (PC) processes is applied to test the equality of two PC time series. Then the performance of the proposed method is investigated through the Monte Carlo simulations.

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