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Two-way analysis of variance for stationary periodic time series. (English) Zbl 0715.62167

We propose modified F-tests for testing the presence of row and column effects in a two-way layout assuming that observations follow a seasonal ARIMA process. A Gaussian approximation to the distribution of a linear combination of quadratic forms is proposed to obtain percentile values of the test statistics. The test is illustrated with the airline series.

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62J10 Analysis of variance and covariance (ANOVA)
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