Tests for the presence of trends in linear processes

S. K. Zaremba

GDML_Books, (1972), p.

Résumé

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

Détail

Zbl 0266.62051

EUDML-ID : urn:eudml:doc:268611