Journal of the Korean Data and Information Science Society

한국데이터정보과학회 (The Korean Data and Information Science Society)
권호 표지

Test for the Presence of Seasonality in Time Series Models

  • 발행 : 2001.04.30
PDF 다운로드
⟨ 이전 논문 다음 논문 ⟩

초록

Three test statistics are proposed for the presence of seasonality in multiplicative seasonal time series models. Further their common limiting distribution is derived under some assumptions.

키워드

참고문헌

  1. Biometrika v.71 Large sample tests of homogeneity for time series models Basawa, I. v.;Billard, L.;Srinivasan, R.
  2. Time Series Analysis: Forecasting and Control, 2nd ed. Box, G.E.P.;Jenkins, G.M.
  3. J.Roy.Statist.Soc.B v.38 Maximum likelihood estimation for dependent observations Crowder, M.J.
  4. Duke Math, Journal v.15 The central limit theorem for dependent random variables Hodffding, W.;Robbins, H.
  5. Journal of the Korean Statistical Society v.22 no.1 Test of homogeneity for a panel of Seasonal Autoregressive Processes Lee, S. D.
  6. Trans. Amer. Math. Soc. v.54 Tests of statistical hypotheses concerning several parameters when the number of observations is large Wald, A.