Statistical Properties of Model-Based Signal Extraction Diagnostic Tests

DOI10.1080/03610920701669785MaRDI QIDQ5457984zbMATH OpenOpenAlexFDO

Authors 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

ARIMA modelcentral limit theoremseasonal adjustmentfiltering

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3765004 (Why is no real title available?)
• scientific article; zbMATH DE number 45789 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• A central limit theorem for stationary processes and the parameter estimation of linear processes
• An ARIMA-Model-Based Approach to Seasonal Adjustment
• Asymptotic theory of statistical inference for time series
• MATRIX FORMULAS FOR NONSTATIONARY ARIMA SIGNAL EXTRACTION
• On the Asymptotic Optimality of Spectral Analysis for Testing Hypotheses About Time Series
• On the Distribution of Some Statistics Useful in the Analysis of Jointly Stationary Time Series
• Signal extraction from nonstationary time series

Cited in

(8)

• Signal extraction revision variances as a goodness-of-fit measure
• A Review of Seasonal Adjustment Diagnostics
• Signal extraction and knowledge discovery based on statistical modeling
• Signal extraction goodness-of-fit diagnostic tests under model parameter uncertainty: Formulations and empirical evaluation
• Diagnostic testing and evaluation of maximum likelihood models
• Signal extraction and knowledge discovery based on statistical modeling
• The multiple testing problem for Box-Pierce statistics
• A local spectral approach for assessing time series model misspecification

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