Tests for white noise against alternatives with both seasonal and nonseasonal serial correlation

DOI10.1093/BIOMET/85.3.727zbMath0946.62080OpenAlexW1971526908MaRDI QIDQ4216700

Werner Ploberger, Donald W. K. Andrews, Xue-Mei Liu

Publication date: 29 October 2000

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/85.3.727

zbMATH Keywords

seasonalseasonalityserial correlationlikelihood ratio testsconsistent testsautoregressive moving average modelLagrange multiplier testnonstandard testing problemmultiplicative seasonal ARMA modelnonseasonaltest of white noise

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03)

Related Items (4)

On time series with randomized unit root and randomized seasonal unit root ⋮ Robust Testing Serial Correlation in AR(1) Processes in the Presence of a Single Additive Outlier ⋮ On consistent testing for serial correlation in seasonal time series models ⋮ Testing for white noise against locally stationary alternatives

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