Statistical analysis of a class of factor time series models

Masanobu Taniguchi; Kousuke Maeda; Madan L. Puri

doi:10.1016/j.jspi.2005.08.018

Statistical analysis of a class of factor time series models

Masanobu Taniguchi, Kousuke Maeda, Madan L. Puri^*

^*Corresponding author for this work

School of Fundamental Science and Engineering

Research output: Contribution to journal › Article › peer-review

Abstract

For a class of factor time series models, which is called a multivariate time series variance component (MTV) models, we consider the problem of testing whether an observed time series belongs to this class. We propose the test statistic, and derive its symptotic null distribution. Asymptotic optimality of the proposed test is discussed in view of the local asymptotic normality. Also, numerical evaluation of the local power illuminates some interesting features of the test.

Original language	English
Pages (from-to)	2367-2380
Number of pages	14
Journal	Journal of Statistical Planning and Inference
Volume	136
Issue number	7 SPEC. ISS.
DOIs	https://doi.org/10.1016/j.jspi.2005.08.018
Publication status	Published - 2006 Jul 1

Keywords

Factor time series model
Local asymptotic normality
Local power
Periodogram
Spectral density

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty
Applied Mathematics

Access to Document

10.1016/j.jspi.2005.08.018

Cite this

@article{84ce205dce63451d9186dce4b01f5941,

title = "Statistical analysis of a class of factor time series models",

abstract = "For a class of factor time series models, which is called a multivariate time series variance component (MTV) models, we consider the problem of testing whether an observed time series belongs to this class. We propose the test statistic, and derive its symptotic null distribution. Asymptotic optimality of the proposed test is discussed in view of the local asymptotic normality. Also, numerical evaluation of the local power illuminates some interesting features of the test.",

keywords = "Factor time series model, Local asymptotic normality, Local power, Periodogram, Spectral density",

author = "Masanobu Taniguchi and Kousuke Maeda and Puri, {Madan L.}",

year = "2006",

month = jul,

day = "1",

doi = "10.1016/j.jspi.2005.08.018",

language = "English",

volume = "136",

pages = "2367--2380",

journal = "Journal of Statistical Planning and Inference",

issn = "0378-3758",

publisher = "Elsevier",

number = "7 SPEC. ISS.",

}

TY - JOUR

T1 - Statistical analysis of a class of factor time series models

AU - Taniguchi, Masanobu

AU - Maeda, Kousuke

AU - Puri, Madan L.

PY - 2006/7/1

Y1 - 2006/7/1

N2 - For a class of factor time series models, which is called a multivariate time series variance component (MTV) models, we consider the problem of testing whether an observed time series belongs to this class. We propose the test statistic, and derive its symptotic null distribution. Asymptotic optimality of the proposed test is discussed in view of the local asymptotic normality. Also, numerical evaluation of the local power illuminates some interesting features of the test.

AB - For a class of factor time series models, which is called a multivariate time series variance component (MTV) models, we consider the problem of testing whether an observed time series belongs to this class. We propose the test statistic, and derive its symptotic null distribution. Asymptotic optimality of the proposed test is discussed in view of the local asymptotic normality. Also, numerical evaluation of the local power illuminates some interesting features of the test.

KW - Factor time series model

KW - Local asymptotic normality

KW - Local power

KW - Periodogram

KW - Spectral density

UR - http://www.scopus.com/inward/record.url?scp=33644880514&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=33644880514&partnerID=8YFLogxK

U2 - 10.1016/j.jspi.2005.08.018

DO - 10.1016/j.jspi.2005.08.018

M3 - Article

AN - SCOPUS:33644880514

SN - 0378-3758

VL - 136

SP - 2367

EP - 2380

JO - Journal of Statistical Planning and Inference

JF - Journal of Statistical Planning and Inference

IS - 7 SPEC. ISS.

ER -

Statistical analysis of a class of factor time series models

Abstract

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this