Testing for white noise against locally stationary alternatives

DOI10.1002/SAM.11157MaRDI QIDQ4969863zbMATH OpenOpenAlexFDO

Authors Georg M. Goerg

Publication date 14 October 2020

Published in Statistical Analysis and Data Mining: The ASA Data Science Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/sam.11157

zbMATH Keywords

locally stationary processesmodel fittingtime-varying parametersportmanteau testautocorrelationsljung-boxresidual checkspurious white noise

Mathematics Subject Classification ID

Statistics (62-XX) Computer science (68-XX)

Cites work

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Cited in

(4)

• Local power of consistent tests for serial correlation against the nearly integrated, nearly white noise process
• TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS
• scientific article; zbMATH DE number 4199399 (Why is no real title available?)
• Testing of hypotheses about the dispersion of nonstationary white Gaussian noise

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