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arXiv · 2606.18445

A spectral based coefficient of determination for the fit of an MA(q) model

Holger Dette·Sebastian Kühnert
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Abstract

We develop a spectral based coefficient of determination to measure how well the spectral density of a stationary linear process is represented by the class of MA($q$) models. Using periodogram-based estimators, we establish asymptotic normality, derive tests for the MA($q$) hypothesis, and construct procedures for determining the smallest order $q$ achieving a prescribed approximation quality.

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Holger Dette, Sebastian Kühnert. 2026-06-16. A spectral based coefficient of determination for the fit of an MA(q) model. https://arxiv.org/abs/2606.18445

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