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http://dx.doi.org/10.5351/KJAS.2007.20.2.323

A Portmanteau Test Based on the Discrete Cosine Transform  

Oh, Sung-Un (Department of Statistics, Sookmyung Women's University)
Cho, Hye-Min (Department of Statistics, Sookmyung Women's University)
Yeo, In-Kwon (Department of Statistics, Sookmyung Women's University)
Publication Information
The Korean Journal of Applied Statistics / v.20, no.2, 2007 , pp. 323-332 More about this Journal
Abstract
We present a new type of portmanteau test in the frequency domain which is derived from the discrete cosine transform(DCT). For the stationary time series, DCT coefficients are asymptotically independent and their variances are expressed by linear combinations of autocovariances. The covariance matrix of DCT coefficients for white noises is diagonal matrix whose diagonal elements is the variance of time series. A simple way to test the independence of time series is that we divide DCT coefficients into two or three parts and then compare sample variances. We also do this by testing the slope in the linear regression model of which the response variables are absolute values or squares of coefficients. Simulation results show that the proposed tests has much higher powers than Ljung-Box test in most cases of our experiments.
Keywords
Bartlett test; discrete cosine transform; F-test; Ljung-Box test; Portmanteau test;
Citations & Related Records
Times Cited By KSCI : 1  (Citation Analysis)
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