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Activity Number: 482
Type: Topic Contributed
Date/Time: Wednesday, August 3, 2016 : 8:30 AM to 10:20 AM
Sponsor: Business and Economic Statistics Section
Abstract #318815 View Presentation
Title: Test Based on Frobenius Norm Distance of Spectral Matrices for Presence of Structural Components
Author(s): Anindya Roy* and Tucker McElroy
Companies: U.S. Census Bureau and U.S. Census Bureau
Keywords: Structural model ; Stable parameterization ; Asymptotic distribution ; Hypothesis testing

We propose a test for the presence of a particular component in structural time series models. Specifically, we test for the presence of seasonal components in a structural time series with trend, seasonal and white noise terms. The proposed test is based on the Frobenius norm distance between the model spectral matrix and its empirical value. The test uses a parameterization of the model parameters to ensure stability in the estimated components. The performance of the test is investigated via a limited simulation experiment.

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