Abstract:The comparison of two time series often arises in climatology, environmental science, and econometrics. Through natural and physical circumstances these series are often dependent. We develop a hypothesis test for the equality of autocovariance functions for two linearly dependent multivariate time series. Previous tests for two independent series are reviewed and extended to the dependent case. A univariate bootstrapped statistic that automatically selects the order of the test is extended to the multivariate… Show more
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