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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
Published in: journal Statistics, Volume 9, Issue 4 1978 , pages 625 - 642
Formats available: PDF (English)
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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
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