Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
권호 표지

Test of Homogeneity for a Panel of Seasonal Autoregressive Processes

  • Lee, Sung-Duck (Department of Statistics, Chungbuk National University, Chongju, 360-763)
  • Published : 1993.06.01
Download PDF
⟨ Previous Next ⟩

Abstract

Large sample test of homogeneity for a panel of more than two seasonal autoregressive processes is derived and its limiting distribution is found. Detailed results are shown for the important special case that the seasonal and nonseasonal autoregressive components are both of order one.

Keywords

References

  1. Journal of the American Statistical Association v.73 Repeated Measurements on Autoregressive Processes Anderson,T.W.
  2. Biometrika v.71 Large Sample Tests of Homogeneity for Time Series Models Basawa,I.V.;Billard,L.;Srinivasan,R.
  3. Time Series Analysis; Forecasting and Control(2nd ed.) Box,G.E.P.;Jenkins,G.M.
  4. Introduction to Statistical Time Series Fuller,W.A.
  5. Duke Mathematical Journal v.15 The Central Limit Theorem for Dependent Random Variables Hoeffding,W.;Robbins,H.
  6. Ph.D. Dissertation, University of Geogia Large Sample Tests for the Multiplicative Seasonal Time Series Models Lee,S.D.
  7. Transactions of the American Mathematical Society v.54 Tests of Statistical Hypothesis Concerning Several Parameters When the Number of Observations is Large Wald,A.