Hypothesis Testing in Time Series Analysis

A₁ actual assume asymptotically autocorrelation autoregressive scheme b₁ C₁ C₂ calculate the distribution chapter characteristic function coefficients consider const correlation correlogram corresponding counter hypothesis covariance matrix critical region cumulants determined discrete discrimination distribution function equation expectation finite given Gram-Charlier H₁ indeterminacy integral K-statistics k₁ 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 quadratic forms quotient r₁ random ratio sample scale factor scheme of order shell significance spectral function statistic Substituting sufficient estimator Suppose test function test independent tion unit circle values variance variates vector Σπί