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Testing the Difference between Two Independent Time Series Models | ||
| Iranian Journal of Science | ||
| مقالات آماده انتشار، پذیرفته شده، انتشار آنلاین از تاریخ 28 بهمن 1394 | ||
| نوع مقاله: Regular Paper | ||
| شناسه دیجیتال (DOI): 10.22099/ijsts.2016.3590 | ||
| نویسندگان | ||
| Mohammad Reza Mahmoudi* 1؛ Mohsen Maleki2؛ Abbas Pak3 | ||
| 1Department of Statistics, College of Science, Fasa University, Fasa, Iran | ||
| 2Shiraz University | ||
| 3Department of Computer Sciences, Faculty of Mathematical Sciences, Shahrekord University, P. O. Box 115, Shahrekord, Iran | ||
| چکیده | ||
| 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. | ||
| کلیدواژهها | ||
| Asymptotic؛ ARMA processes؛ Simulation؛ Simultaneous inference؛ Time series | ||
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