Testing time series for interpolability and whiteness |
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Authors: | Roberto Baragona Francesco Battaglia |
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Affiliation: | Dipartimento di Sociologia , Universita di Roma , Salana, Roma, 113, 00198, Italy |
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Abstract: | We propose a test to decide if a time series is represented by its linear interpolator better than by its mean value. The same test can be employed to decide if a time series has to be considered white noise. The test is based on a new estimate of the index of linear determinism (Battaglia, 1983, Inverse autocovariances and a measure of linear determinism for a stationary process, J. Time Series Anal. 4, 79-87) and its asymptotic distribution is derived. Comparison with the popular Ljung-Box portmanteau test has been performed based on both asymptotic power and a simulation experiment. The new test |
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Keywords: | index of linear determinism: interpolation error variance: linear interpolators portmanteau test: time series: white noise |
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