ScholarWorks@숙명여자대학교

초록

We present a new type of portmanteau test in the frequency domain which is de-rived from the discrete cosine transform(DCT). For the stationary time series, DCTcoecients are asymptotically independent and their variances are expressed by linearcombinations of autocovariances. The covariance matrix of DCT coecients for whitenoises is diagonal matrix whose diagonal elements is the variance of time series. Asimple way to test the independence of time series is that we divide DCT coecientsinto two or three parts and then compare sample variances. We also do this by testingthe slope in the linear regression model of which the response variables are absolutevalues or squares of coecients. Simulation results show that the proposed tests hasmuch higher powers than Ljung-Box test in most cases of our experiments.

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