Abstract
In this paper, we analyze the distribution of the statistic of a test for identifying the type of correlated time series. The rule for selecting a model suitable to the data is based on the comparison between the normalized prediction errors of the Whittle estimator applied to the candidate models. We consider one application of the test: assessing the significance of increasing the number of parameters within a given class of models. The results obtained demonstrate that the Weibull distribution is a good approximation for the distribution of the test statistic.
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Sousa-Vieira, M.E. (2011). Analysis of the Distribution of the Statistic of a Test for Discriminating Correlated Processes. In: Balandin, S., Koucheryavy, Y., Hu, H. (eds) Smart Spaces and Next Generation Wired/Wireless Networking. ruSMART NEW2AN 2011 2011. Lecture Notes in Computer Science, vol 6869. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-22875-9_32
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DOI: https://doi.org/10.1007/978-3-642-22875-9_32
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