Monte Carlo Test for Stochastic Trend in Space State Models for the Location-Scale Family

Authors

  • Ivair Ramos Silva Department of Statistics, Federal University of Ouro Preto, Ouro Preto, MG, Brazil. http://orcid.org/0000-0003-2701-8924
  • Dulcidia Ernesto Federal University of Viçosa
  • Fernando Oliveira Federal University of Ouro Preto
  • Reinaldo Marques University of Oslo; Federal University of Alfenas
  • Anderson Oliveira Federal University of Mato Grosso

DOI:

https://doi.org/10.12660/bre.v40n22020.81082

Keywords:

Time series, Structural models, Monte Carlo Testing.

Abstract

In space state models for time series, a key point is the decision between modeling the trend of non-stationary processes through a deterministic or a stochastic term. The present paper introduces a Monte Carlo hypothesis test procedure to guide in such a decision. The method works for any time series distribution belonging to the location-scale family. The proposed method provides an alpha-level test for any time series of length greater than 3 and it does not demand assumptions on the distribution of the trend term when it is actually stochastic.

Downloads

Published

2021-04-30

Issue

Section

Articles