THE NUMBER OF PEAKS IN A STATIONARY SAMPLE AND ORTHANT PROBABILITIES

DOI10.1111/j.1467-9892.1994.tb00201.xzbMath0807.62069OpenAlexW2049434591MaRDI QIDQ4319839

Eugene Seneta, Simon F. Ku

Publication date: 1 March 1995

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1994.tb00201.x

zbMATH Keywords

asymptotic normalityaccuracypowerMA(1)ARMA(p,q)stationary alternativesnumber of peaksgeometrically strong mixingAR(4)closed-form calculation of orthant probabilitiesPlackett's reduction formulastationary Gaussian autoregressive moving- average (ARMA) processzero mean quadrivariate normal

Mathematics Subject Classification ID

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

Related Items (2)

On the connection between orthant probabilities and the first passage time problem ⋮ Tests based on sample partial autocorrelations

Cites Work

• Mixing properties of ARMA processes
• Evaluation of the normal distribution function
• The Efficiencies of Tests of Randomness Against Normal Regression
• Estimating Serial Correlation by Visual Inspection of Diagnostic Plots
• The variance of Spearman's rho in normal samples
• The Orthant Probabilities of Four Gaussian Variates
• On the Power Function of Tests of Randomness Based on Runs up and Down
• Asymptotic Relative Efficiencies of Distribution-Free Tests of Randomness Against Normal Alternatives
• A REDUCTION FORMULA FOR NORMAL MULTIVARIATE INTEGRALS
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