A Test for Variance Heterogeneity in the Residuals of a Gaussian Moving Average
高斯移动平均过程残差方差异质性的检验
SUMMARY A large sample test for variance heterogeneity in the residuals of a Gaussian moving average is presented, based upon periodogram-ratios of the data. For long series, it is shown that neither the null-hypothesis nor alternative-hypothesis behaviour of the test statistic is dependent upon the coefficients of the moving average (and these need not be estimated in advance). The alternative-hypothesis behaviour of the test statistic is discussed in terms of the…