Integrated processes and the discrete cosine transform

Journal of Applied Probability

Volumn 38A, Issue , 2001, Pages 105-121

  Davies, Robert B ^a,b  

^a Statistics Research Associates   (New Zealand)

^b Statistics Research Associates Limited   (New Zealand)

Author keywords

Beta optimal test; Brownian motion; DCT II; Discrete cosine transform; Integrated process; Random walk; Spectrum; time series; Unit root

Indexed keywords

EID: 84962259328     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1085496595     Document Type: Article

References (11)

1. Davies, R. B. (1969). Beta-optimal tests and an application to the summary evaluation of experiments. J. Roy. Statist. Soc. Ser. B 31, 524-538.
2. Davies, R. B. (1973). Asymptotic inference in stationary Gaussian time-series. Adv. Appl. Probab. 5, 469-497.
3. Davies, R. B. (1980). The distribution of a linear combination of chi-squared random variables. Algorithm AS155. Appl. Statist. 29, 323-333.
4. Davies, R. B. (1983). Optimal inference in the frequency domain. In Time Series in the Frequency Domain (Handbook Statist. 3), eds D. R. Brillinger and P. R. Krishnaiah, Elsevier, Amsterdam, 73-92.
5. Davies, R. B. (1985). Asymptotic inference when the amount of information is random. In Proc. Berkeley Conf. in Honor of Jerzy Neyman and Jack Kiefer, Vol. 2, eds L. M. LeCam and R. A. Olshen, Wadsworth, Belmont, CA, 841-864.
6. Davies, R. B. (2000). Linear combination of chi-squared random variables. Available at http://www.statsresearch.co.nz/robert/QF.htm.
7. Dickey, D. A., Bell, W. R. and Miller, R. B. (1986). Unit roots in time series models: Tests and implications. Amer. Statistician 40, 12-26.
8. Harvey, A. C. (1989). Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press.
9. King, M. L. (1988). Towards a theory of point optimal testing. Econometric Reviews 6, 169-218.
10. Rao, K. R. and Yip, P. (1990). Discrete Cosine Transform: Algorithms, Advantages, Applications. Academic Press, New York.
11. Van Loan, C. (1992). Computational Frameworks for the Fast Fourier Transform. SIAM, Philadelphia.