Distribution of the coates-diggle test statistic in case of replicated observations
作者:
B. M. Potscher,
E. Reschenhgfer,
期刊:
Statistics
(Taylor Available online 1989)
卷期:
Volume 20,
issue 3
页码: 417-421
ISSN:0233-1888
年代: 1989
DOI:10.1080/02331888908802190
出版商: Akademie-Verlag
关键词: Periodogram;comparison of spectral densities;replicated observations;range of independent variates distributed as FISHER'S z-distribution
数据来源: Taylor
摘要:
A closed form expression for the distribution of a test statistic for comparing the spectral densities of stationary processes is given. This test statistic was introduced by COATES and DIGGLE ( 1986 ) for the unreplicated case and has been extended to the case of replicated observations by POTSCHER and RESCHENHOFER ( 1988 ). A simple method for computing approximate critical values in case of large numbers of replications is also provided. As a by-product an explicit expression for the distribution function of the range of independent variates each distributed as the logarithm of an F-variate i.e up to a factor of 2 each followin Fishers z-distriution is obtained
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