A Test for Spectrum Flatness

DOI10.1111/J.1467-9892.2007.00523.XMaRDI QIDQ3505331zbMATH OpenOpenAlexFDO

Authors K. Drouiche

Publication date 18 June 2008

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2007.00523.x

zbMATH Keywords

asymptotic powerrandomnessspectral density estimationwhiteness

Mathematics Subject Classification ID

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

Recommendations

• A GOODNESS-OF-FIT TEST FOR AUTOREGRESSIVE MOVING-AVERAGE MODELS BASED ON THE STANDARDIZED SAMPLE SPECTRAL DISTRIBUTION OF THE RESIDUALS
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• A spectral density test for whiteness

Cites work

• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• Comparison of two modified portmanteau tests for model adequacy
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• On a measure of lack of fit in time series models
• Significance levels of the Box-Pierce portmanteau statistic in finite samples
• Time series: theory and methods.

Cited in

(5)

• A GOODNESS-OF-FIT TEST FOR AUTOREGRESSIVE MOVING-AVERAGE MODELS BASED ON THE STANDARDIZED SAMPLE SPECTRAL DISTRIBUTION OF THE RESIDUALS
• A fast flatness testing criterion in characteristic zero
• Testing discrete-valued time series for whiteness
• Spectral domain diagnostics for testing model proximity and disparity in time series data
• A test for randomness against ARMA alternatives.

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