Comparison tests for the spectra of dependent multivariate time series
Statistical test procedures are proposed to compare the spectra of multivariate time series. We are mostly concerned with the general case of dependent series. The study was motivated by physical oceanography problems for which daily satellite measurements of drifter positions are readily available. Within the mathematical models used for the velocity field at the surface of the ocean, the Lagrangian velocities (time series of the velocities of the drifters along their trajectories) are realizations of stationary stochastic processes having the same one-dimensional marginal distributions. The theory leads to the conjecture that they also should have the same spectra. The tools presented in this paper were intended to test this hypothesis on real data and on data obtained from numerical simulations of transport properties in a two dimensional incompressible Gaussian velocity field.
KeywordsCovariance Coherence Rene
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