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A test of fit for the spectral density function of a stochastic process. (English) Zbl 0096.34402

Keywords:

statistics
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References:

[1] H. Cramér, Mathematical Methods of Statistics, Princeton University Press, 1946. · Zbl 0063.01014
[2] U. Grenander andM. Rosenblatt, ?Statistical spectral analysis of time series arising from stationary stochastic processes?, Ann. Math. Statist. Vol.24, pp. 537-558 (1953). · Zbl 0053.41005 · doi:10.1214/aoms/1177728913
[3] U. Grenander andM. Rosenblatt, Statistical Analysis of Stationary Time Series, John Wiley and Sons, New York, 1957. · Zbl 0080.12904
[4] M. Loève, Probability Theory. Foundations. Random Sequences, D. van Nostrand Co. New York, 1955.
[5] Z. A. Lomnicki andS. K. Zaremba, ?On some moments and distributions occurring in the theory of linear stochastic processes?, Monatsh. Math.: Part I, Vol.61 (1957), pp. 318-358; Part II, Vol.63, pp. 128-168 (1959). In Part I the following two misprints should be corrected: On p. 150C p, q, (N) should be replaced byc p, q, (N) ; on p. 165 the numbers in the last line of the table should read 1.0000, 28/3=9.3333, and4 respectively. · Zbl 0084.15001 · doi:10.1007/BF01305937
[6] A. M. Walker, ?A goodness of fit test for spectral distribution functions of stationary time series with normal residuals?, Biometrika, Vol.43, pp. 257-275 (1956). · Zbl 0074.13403
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