A Test for Variance Heterogeneity in the Residuals of a Gaussian Moving Average
- 1 July 1963
- journal article
- research article
- Published by Oxford University Press (OUP) in Journal of the Royal Statistical Society Series B: Statistical Methodology
- Vol. 25 (2) , 451-454
- https://doi.org/10.1111/j.2517-6161.1963.tb00528.x
Abstract
SUMMARY: A large sample test for variance heterogeneity in the residuals of a Gaussian moving average is presented, based upon periodogram-ratios of the data. For long series, it is shown that neither the null-hypothesis nor alternative-hypothesis behaviour of the test statistic is dependent upon the coefficients of the moving average (and these need not be estimated in advance). The alternative-hypothesis behaviour of the test statistic is discussed in terms of the coefficients in a Fourier expansion of the non-constant variance function.This publication has 2 references indexed in Scilit:
- Periodogram Analysis and Variance FluctuationsJournal of the Royal Statistical Society Series B: Statistical Methodology, 1963
- Table for Estimating the Goodness of Fit of Empirical DistributionsThe Annals of Mathematical Statistics, 1948