Simple diagnostic tools for inverstigating linear trends in time series

DOI10.1080/03610929608831781MaRDI QIDQ4337209zbMATH OpenOpenAlexFDO

Authors Adi Raveh, Gideon Schwarz

Publication date 12 November 1998

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

Full work available at URL https://doi.org/10.1080/03610929608831781

zbMATH Keywords

random walkfirst (second) differences of a time seriesvonNeumann ratio \(\eta\)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Testing for Deterministic Linear Trend in Time Series
• Diagnostic methods in time series
• Diagnostics for Time Series Analysis
• Testing for time series linearity
• scientific article; zbMATH DE number 1165677
• Simple regressions with linear time trends

Cites work

• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• Distribution of the Ratio of the Mean Square Successive Difference to the Variance
• Estimation of the degree of differencing of an ARIMA process
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Moments of the Ratio of the Mean Square Successive Difference to the Mean Square Difference in Samples From a Normal Universe
• The Mean Square Successive Difference

Cited in

(3)

• Diagnostic check for heavy tail in linear time series
• On trend estimation of time-series: a simple linear programming approach
• Estimating Serial Correlation by Visual Inspection of Diagnostic Plots

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