Testing the equality of several independent stationary and non-stationary time series models with fractional Brownian motion errors

Abstract

This work is devoted to apply the parametric and nonparametric techniques to construct test of hypothesis about the equality of the probabilistic behaviors of several time series models with fractional Brownian motion errors fitted on several independent datasets. The accuracy and power of the introduced method are studied using the simulated and real datasets. The results indicate that the introduced approach is more powerful than other alternative approaches, in non-stationary cases.