Comparison of Non-Stationary Time Series in the Frequency Domain

@inproceedings{Maharaj2001ComparisonON,
  title={Comparison of Non-Stationary Time Series in the Frequency Domain},
  author={Elizabeth Ann Maharaj},
  year={2001}
}
In this paper we compare two non-stationary time series using non-parametric procedures. Evolutionary spectra are estimated for the two series. Randomization tests are performed on groups of spectral estimates for both related and independent time series. Simulation studies show that in certain cases the tests perform reasonably well. The tests are applied to observed geological and financial time series. 

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