Statistical analysis of a class of factor time series models

Masanobu Taniguchi, Kousuke Maeda, Madan L. Puri

Research output: Contribution to journalArticle

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 languageEnglish
Pages (from-to)2367-2380
Number of pages14
JournalJournal of Statistical Planning and Inference
Volume136
Issue number7 SPEC. ISS.
DOIs
Publication statusPublished - 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

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