Z. Chik
Pusat Asasi Sains, University of Malaya, 50603 Kuala Lumpur, Malaysia
ABSTRACT
A problem in gas industry and commodity prices describes a number of periodogram-based tests of the hypothesis that two independent time series are realizations of the same stationary signal. This paper describes the use of a periodogram-based test method called the randomisation test method for comparing stationary stochastic signals. The paper consider the case of comparing two signals which can be generalized to compare more then two signals. A number of test statistics are considered and the maximum distance between periodograms is recommended. It is important to standardize the signals before calculating the periodograms otherwise the test is considerably weakened.
PDF References Citation
How to cite this article
Z. Chik, 2002. A periodogram-based test method for comparing stationary stochastic signals. Information Technology Journal, 1: 208-212.
DOI: 10.3923/itj.2002.208.212
URL: https://scialert.net/abstract/?doi=itj.2002.208.212
DOI: 10.3923/itj.2002.208.212
URL: https://scialert.net/abstract/?doi=itj.2002.208.212
REFERENCES
- Basseville, M., 1988. Detecting changes in signals and systems. Automatica, 24: 309-326.
CrossRefDirect Link - Basseville, M., 1989. Distance measures for signal processing and pattern recognition. Signal Proc., 18: 349-369.
Direct Link - Coates, D., 1991. Comments on performance evaluation of some methods for off-line detection of changes in autoregressive signals. Signal Proc., 24: 353-357.
Direct Link - Coates, D.S. and P.J. Diggle, 1986. Tests for comparing two estimated spectral densities. J. Time Ser. Anal., 7: 7-20.
Direct Link - De-Souza, P. and P. Thomson, 1982. LPC distance measures and statistical tests with particular reference to the likelihood ratio. Proc. IEEE Trans. Acoust. Speech Signal, 30: 304-315.
Direct Link - Digglef, P.J. and N.I. Fisher, 1991. Nonparametric comparison of cumulative periodograms. J. R. Stat. Soc., 40: 423-434.
Direct Link - Hooton, J.W., 1991. Randomization tests: Statistics for experimenters. Comput. Methods Prog. Biomed., 35: 43-51.
PubMedDirect Link - Priestley, M.B., 1981. Spectral Analysis and Time Series. 1st Edn., Academic Press, London, ISBN-10: 0125649010, pp: 653.
Direct Link - Stoica, P., 1990. Performance evaluation of some methods for off-line detection of changes in autoregression signals. Signal Proc., 19: 301-310.
Direct Link