Colloquium: Suojin Wang

Speaker: Suojin Wang, Texas A & M

Title: A New Nonparametric Test for Comparing the Autocorrelation Structures of Two Time Series

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.

Faculty host: Guanqun Cao