Simple diagnostic tools for inverstigating linear trends in time series

DOI10.1080/03610929608831781zbMath0900.62491OpenAlexW2031453999MaRDI QIDQ4337209

Gideon Schwarz, Adi Raveh

Publication date: 12 November 1998

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929608831781

zbMATH Keywords

random walkfirst (second) differences of a time seriesvonNeumann ratio \(\eta\)

Mathematics Subject Classification ID

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

Cites Work

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• Estimation of the degree of differencing of an ARIMA process
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Moments of the Ratio of the Mean Square Successive Difference to the Mean Square Difference in Samples From a Normal Universe
• The Mean Square Successive Difference
• Distribution of the Ratio of the Mean Square Successive Difference to the Variance

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