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

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.

11 pages, 2 figures