Statistical Properties of Model-Based Signal Extraction Diagnostic Tests

DOI10.1080/03610920701669785zbMath1274.62606OpenAlexW2099792986MaRDI QIDQ5457984

Tucker S. McElroy

Publication date: 10 April 2008

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920701669785

zbMATH Keywords

filteringcentral limit theoremseasonal adjustmentARIMA model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (4)

A Review of Seasonal Adjustment Diagnostics ⋮ The multiple testing problem for Box-Pierce statistics ⋮ A local spectral approach for assessing time series model misspecification ⋮ Signal extraction goodness-of-fit diagnostic tests under model parameter uncertainty: Formulations and empirical evaluation

Cites Work

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• Signal extraction from nonstationary time series
• A central limit theorem for stationary processes and the parameter estimation of linear processes
• Asymptotic theory of statistical inference for time series
• MATRIX FORMULAS FOR NONSTATIONARY ARIMA SIGNAL EXTRACTION
• An ARIMA-Model-Based Approach to Seasonal Adjustment
• On the Distribution of Some Statistics Useful in the Analysis of Jointly Stationary Time Series
• On the Asymptotic Optimality of Spectral Analysis for Testing Hypotheses About Time Series

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