Analysis of the distribution of the statistic of a test for discriminating correlated processes

  • Authors:
  • M. E. Sousa-Vieira

  • Affiliations:
  • Department of Telematics Engineering, University of Vigo, Spain

  • Venue:
  • NEW2AN'11/ruSMART'11 Proceedings of the 11th international conference and 4th international conference on Smart spaces and next generation wired/wireless networking
  • Year:
  • 2011

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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.