Combining Generalized Kolmogorov-Smirnov Tests

by Erhard Reschenhofer .

Abstract: We introduce a new frequency domain test of white noise that is designed for distinctive, possibly multimodal alternatives. It is obtained by combining a small number of individual tests that complement one another. Each of the individual tests used as building blocks for the combined test has very high power for a particular class of alternatives. The different classes of alternatives are characterized by the number of peaks and troughs in the spectrum. Simulations show that the combined test is very competitive over a wide range of alternatives.

Key Words: White Noise; Frequency Domain Tests; Multimodal Spectra

Author:
Erhard Reschenhofer, erhard.reschenhofer@univie.ac.at

Editor: Hector F. Coronel-Brizio, hcoronel@xal.megared.net.mx

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