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Spectral domain diagnostics for testing model proximity and disparity in time series data |
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| Authors: | Tucker McElroy Scott Holan |
| Affiliation: | 1. Statistical Research Division, US Census Bureau, 4700 Silver Hill Road, Washington, DC 20233-9100, United States;2. Department of Statistics, University of Missouri-Columbia, 146 Middlebush Hall, Columbia, MO, 65211-6100, United States |
| Abstract: | Diagnostics for testing the proximity and disparity of a model spectral density to the truth for time series data are formulated by considering a convenient measure of a spectral density’s departure from constancy. The method is illustrated through numerical experiments and several case studies. |
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