Moment Tests for Window Length Selection in Singular Spectrum Analysis of Short– and Long–Memory Processes

Abstract

In this paper we propose a new methodology for selecting the window length in Singular Spectral Analysis in which the window length is determined from the data prior to the commencement of modeling. The selection procedure is based on statistical tests designed to test the convergence of the autocovariance function. A classical time series portmanteau type… (More)

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Cite this paper

@inproceedings{Khan2011MomentTF, title={Moment Tests for Window Length Selection in Singular Spectrum Analysis of Short– and Long–Memory Processes}, author={Md Atikur Rahman Khan and D. S. Poskitt}, year={2011} }