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
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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 -