Estimation of the Innovation Variance of a Stationary Time Series
- 1 March 1968
- journal article
- research article
- Published by Taylor & Francis in Journal of the American Statistical Association
- Vol. 63 (321) , 141-149
- https://doi.org/10.1080/01621459.1968.11009229
Abstract
The log of the periodogram is used to estimate the innovation variance of a stationary time series. The difference between the log of the estimated variance of the process and the log of the estimated innovation variance is used as a test for white noise. It is shown that this test is equivalent to Bartlett's test for homogeneity of variances applied to the periodogram without grouping and the asymptotic properties are derived.Keywords
This publication has 1 reference indexed in Scilit:
- The Statistical Analysis of Variance-Heterogeneity and the Logarithmic TransformationJournal of the Royal Statistical Society Series B: Statistical Methodology, 1946