An Extension of Quenouille's Test for the Compatibility of Correlation Structures in Time Series
时间序列相关结构相容性检验的Quenouille扩展
Summary Quenouille's test compares under stated assumptions the correlation structures of two lengths of time series to see if they are compatible. A test is here derived to compare any number of lengths of time series. As in Quenouille's test, the derivation depends on assumed or fitted values of autoregression coefficients; the test is shown to be insensitive to errors in these values.