Polynomial trends in time series
Author:
S.K. Zaremba a
| Affiliation: | a Yr Hen Ysgol, Aberffrwd, Aberystwyth, Dyfed, Ffon, Wales |
DOI:
10.1080/02331887808801459
Publication Frequency:
6 issues per year
Subjects:
Mathematical Statistics;
Statistical Theory & Methods;
Statistics;
Statistics for the Biological Sciences;
Stochastic Models & Processes;
Formats available:
PDF
(English)
View Article:
View Article (PDF)
Abstract
The J* test which was previously proposed by the present author for the detection of a trend in a time series does not depend on any quantitative assumptions, but in the case of a polynomial trend it depends on its degree; if this degree is too high, the test cannot be applied. The author finds a bound of the significance level at which the test can be applied when the sample size, as well as a bound of the degree of the trend, are given. Asymptotic results are used only when we trust the asymptotic distribution of J* under the null hypothesis.
|
| Keywords: Trend; time series; test function; significance level; orthogonal polynomials |
| view references (6) |

Download Citation


CiteULike
Del.icio.us
BibSonomy
Connotea