Hypothesis Testing in Time Series Analysis

A₁ actual assume asymptotically autocorrelation autoregressive scheme C₁ C1 Co C1 calculate the distribution chapter characteristic function Ck Ck-1 coefficients consider const correlation correlogram corresponding counter hypothesis covariance matrix critical region cumulants determined discrete discrimination distribution function equation expectation given Gram-Charlier independent indeterminacy integral inversion involve K-statistics latent roots Laurent expansion Laurent matrix likelihood function linear maximum likelihood estimate model types moments moving average scheme normally distributed null hypothesis observations obtain parameters periodogram periodogram ordinate Peter Whittle polynomial posteriori likelihood powerful test probability quadratic forms quadratic function quotient random ratio readily sample scale factor scheme of order shell significance spectral function statistic Suppose test function tion unit circle values variance variates vector αο λα₁ Σαν Σπί ΣΣ