Test for the Presence of Seasonality in Time Series Models

  • Lee, Sung-Duck (Department of Statistics, Chungbuk National University)
  • Published : 2001.04.30

Abstract

Three test statistics are proposed for the presence of seasonality in multiplicative seasonal time series models. Further their common limiting distribution is derived under some assumptions.

References

  1. Biometrika v.71 Large sample tests of homogeneity for time series models Basawa, I. v.;Billard, L.;Srinivasan, R.
  2. Time Series Analysis: Forecasting and Control, 2nd ed. Box, G.E.P.;Jenkins, G.M.
  3. J.Roy.Statist.Soc.B v.38 Maximum likelihood estimation for dependent observations Crowder, M.J.
  4. Duke Math, Journal v.15 The central limit theorem for dependent random variables Hodffding, W.;Robbins, H.
  5. Journal of the Korean Statistical Society v.22 no.1 Test of homogeneity for a panel of Seasonal Autoregressive Processes Lee, S. D.
  6. Trans. Amer. Math. Soc. v.54 Tests of statistical hypotheses concerning several parameters when the number of observations is large Wald, A.