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A use of the Stein-Chen method in time series analysis


Kim, S T (2000). A use of the Stein-Chen method in time series analysis. Journal of Applied Probability, 37(4):1129-1136.

Abstract

this paper, a statistic that has been introduced to test for space-time correlation is considered in a time series context. The null hypothesis is white noise; the alternative is any kind of continuous functional dependence. For an autoregressive process close to the null hypothesis, a bound on the distance between the distribution of the statistic and a Poisson distribution is proved, using the Stein-Chen method. The main difficulty in the proof is that the dependence in the time series is not locally restricted. The result implies asymptotically certain discrimination for a reasonable choice of the thresholds.

Abstract

this paper, a statistic that has been introduced to test for space-time correlation is considered in a time series context. The null hypothesis is white noise; the alternative is any kind of continuous functional dependence. For an autoregressive process close to the null hypothesis, a bound on the distance between the distribution of the statistic and a Poisson distribution is proved, using the Stein-Chen method. The main difficulty in the proof is that the dependence in the time series is not locally restricted. The result implies asymptotically certain discrimination for a reasonable choice of the thresholds.

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Citations

2 citations in Web of Science®
2 citations in Scopus®
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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:07 Faculty of Science > Institute of Mathematics
Dewey Decimal Classification:510 Mathematics
Language:English
Date:2000
Deposited On:29 Nov 2010 16:27
Last Modified:05 Apr 2016 13:26
Publisher:Applied Probability Trust
ISSN:0021-9002
Publisher DOI:https://doi.org/10.1239/jap/1014843092
Related URLs:http://www.ams.org/mathscinet-getitem?mr=1808877
http://www.zentralblatt-math.org/zbmath/search/?q=an%3A0972.62080

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