SiZer analysis for the comparison of time series

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SiZer (Significant ZERo crossing of the derivatives) is a scale-space visualization tool for statistical inferences. In this paper we introduce a graphical device, which is based on SiZer, for the test of the equality of the mean of two time series. The estimation of the quantile in a confidence interval is theoretically justified by advanced distribution theory. The extension of the proposed method to the comparison of more than two time series is also done using residual analysis. A broad numerical study is conducted to demonstrate the sample performance of the proposed tool. In addition, asymptotic properties of SiZer for the comparison of two time series are investigated. (C) 2009 Elsevier B.V. All rights reserved.
Publisher
ELSEVIER SCIENCE BV
Issue Date
2009-12
Language
English
Article Type
Article
Citation

JOURNAL OF STATISTICAL PLANNING AND INFERENCE, v.139, no.12, pp.3974 - 3988

ISSN
0378-3758
DOI
10.1016/j.jspi.2009.05.003
URI
http://hdl.handle.net/10203/285782
Appears in Collection
MA-Journal Papers(저널논문)
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