Testing the Difference between Two Independent Time Series Models

Document Type : Regular Paper

Authors

1 Department of Statistics, College of Science, Fasa University, Fasa, Iran

2 Shiraz University

3 Department of Computer Sciences, Faculty of Mathematical Sciences, Shahrekord University, P. O. Box 115, Shahrekord, Iran

Abstract

In some situations, for example in biology, economic, electronic, finance and management, researchers wish to determine whether the two time series are generated by the same stochastic mechanism or their random behavior differs. In this work, the asymptotic distribution for the difference of two independent ARMA coefficients is established. The presented method can be used to derive the asymptotic confidence set for the difference of coefficients and hypothesis testing for the equality of two time series. Then the Monte Carlo simulation study is provided to investigate the performance of proposed method. The performance of the new method is comparable with alternative method.

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Iranian Journal of Science

Articles in Press, Accepted Manuscript
Available Online from 17 February 2016

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