Tests for white noise against alternatives with both seasonal and nonseasonal serial correlation
针对季节性与非季节性序列相关备择的白噪声检验
This paper considers tests for seasonal and nonseasonal serial correlation in time series and in the errors of regression models. The problem of testing for white noise against multiplicative seasonal ARMA(1, 1) × (1, 1), alternatives is investigated. This testing problem is nonstandard because of nuisance parameters that appear under the alternative but not under the null hypothesis. The likelihood ratio, sup Lagrange multiplier, and average exponential Lagrange multiplier…