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On Two-Sample Tests For Time Series


On Two-Sample Tests For Time Series

Alzahrani, Abeer (2017) On Two-Sample Tests For Time Series. Masters thesis, Concordia University.

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In this thesis, we consider the two-sample problem of time series. Given two time series data x_1,...,x_n and y_1,...,y_m, we would like to test whether they follow the same time series model. First, we develop a unified procedure for this testing problem. The procedure consists of three steps: testing stationarity, comparing correlation structures and comparing residual distributions. Then, we apply the established procedure to analyze real data. We also propose a modification to a nonparametric two-sample test, which can be applied to high dimensional data with equal means and variances.

Divisions:Concordia University > Faculty of Arts and Science > Mathematics and Statistics
Item Type:Thesis (Masters)
Authors:Alzahrani, Abeer
Institution:Concordia University
Degree Name:M. Sc.
Date:September 2017
Thesis Supervisor(s):Sun, Wei
ID Code:983037
Deposited By: Abeer Alzahrani
Deposited On:16 Nov 2017 17:33
Last Modified:18 Jan 2018 17:56
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