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Distributed Lag Regression with an Almost Periodic Design Matrix
M. J. Katzoff and R. H. Shumway
Journal of Applied Probability
Vol. 15, No. 4 (Dec., 1978), pp. 759-773
Published by: Applied Probability Trust
Stable URL: http://www.jstor.org/stable/3213432
Page Count: 15
You can always find the topics here!Topics: Matrices, Estimators, Mathematical functions, Periodic functions, Fourier series, Time series, Calibration, Signals, Covariance, Noise spectra
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Frequency domain estimation and tests of hypotheses are considered for a general multivariate distributed lag regression model. The usual vector of regression functions is replaced by a matrix of almost periodic functions, a case for which the terms appearing in the frequency domain estimators have well-defined limits. Asymptotic distributions and consistency are established for the regression coefficients and error spectra. A test statistic is proposed for the no regression hypothesis which is asymptotically central F under the null hypothesis and converges to infinity under the alternative. In the multivariate case, a product of beta-distributed variables is obtained.
Journal of Applied Probability © 1978 Applied Probability Trust