Tests for the presence of trends in linear processes

S. K. Zaremba

  • Publisher: Instytut Matematyczny Polskiej Akademi Nauk(Warszawa), 1972

Abstract

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CONTENTS1. Introduction.............................................................................................................................................52. Assumptions and notations................................................................................................................63. An important asymptotic distribution..................................................................................................84. The asymptotic distribution of K * μ , ν under the null hypothesis.........................................145. The denominators of the test functions under the alternative hypothesis..................................186. The behaviour of K * μ , ν under the alternative hypothesis....................................................227. A class of alternative hypotheses for which the K * μ , ν test is consistent..........................238. The asymptotic distribution of under the null hypothesis..............................................................269. The behaviour of J * μ , ν under alternative hypotheses..........................................................2810. Orthogonal polynomial.......................................................................................................................3311. Polynomial trends...............................................................................................................................3512. Comparisons between the powers of the three tests..................................................................3813. The asymptotic independence of the three test functions under the null hypothesis............4614. Numerical illustrations.......................................................................................................................53References..................................................................................................................................................58

How to cite

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S. K. Zaremba. Tests for the presence of trends in linear processes. Warszawa: Instytut Matematyczny Polskiej Akademi Nauk, 1972. <http://eudml.org/doc/268611>.

@book{S1972,
abstract = {CONTENTS1. Introduction.............................................................................................................................................52. Assumptions and notations................................................................................................................63. An important asymptotic distribution..................................................................................................84. The asymptotic distribution of $K*_\{μ, ν\}$ under the null hypothesis.........................................145. The denominators of the test functions under the alternative hypothesis..................................186. The behaviour of $K*_\{μ, ν\}$ under the alternative hypothesis....................................................227. A class of alternative hypotheses for which the $K*_\{μ, ν\}$ test is consistent..........................238. The asymptotic distribution of under the null hypothesis..............................................................269. The behaviour of $J*_\{μ, ν\}$ under alternative hypotheses..........................................................2810. Orthogonal polynomial.......................................................................................................................3311. Polynomial trends...............................................................................................................................3512. Comparisons between the powers of the three tests..................................................................3813. The asymptotic independence of the three test functions under the null hypothesis............4614. Numerical illustrations.......................................................................................................................53References..................................................................................................................................................58},
author = {S. K. Zaremba},
language = {eng},
location = {Warszawa},
publisher = {Instytut Matematyczny Polskiej Akademi Nauk},
title = {Tests for the presence of trends in linear processes},
url = {http://eudml.org/doc/268611},
year = {1972},
}

TY - BOOK
AU - S. K. Zaremba
TI - Tests for the presence of trends in linear processes
PY - 1972
CY - Warszawa
PB - Instytut Matematyczny Polskiej Akademi Nauk
AB - CONTENTS1. Introduction.............................................................................................................................................52. Assumptions and notations................................................................................................................63. An important asymptotic distribution..................................................................................................84. The asymptotic distribution of $K*_{μ, ν}$ under the null hypothesis.........................................145. The denominators of the test functions under the alternative hypothesis..................................186. The behaviour of $K*_{μ, ν}$ under the alternative hypothesis....................................................227. A class of alternative hypotheses for which the $K*_{μ, ν}$ test is consistent..........................238. The asymptotic distribution of under the null hypothesis..............................................................269. The behaviour of $J*_{μ, ν}$ under alternative hypotheses..........................................................2810. Orthogonal polynomial.......................................................................................................................3311. Polynomial trends...............................................................................................................................3512. Comparisons between the powers of the three tests..................................................................3813. The asymptotic independence of the three test functions under the null hypothesis............4614. Numerical illustrations.......................................................................................................................53References..................................................................................................................................................58
LA - eng
UR - http://eudml.org/doc/268611
ER -

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