A GOODNESS-OF-FIT TEST FOR AUTOREGRESSIVE MOVING-AVERAGE MODELS BASED ON THE STANDARDIZED SAMPLE SPECTRAL DISTRIBUTION OF THE RESIDUALS
作者： Santiago Velilla
DOI: 10.1111/J.1467-9892.1994.TB00218.X
关键词: Asymptotic distribution 、 Goodness of fit 、 Autoregressive–moving-average model 、 Sample (statistics) 、 Sample size determination 、 Method of mean weighted residuals 、 Statistics 、 Mathematics 、 Spectral power distribution 、 Statistical hypothesis testing
摘要: . A stochastic process derived from the standardized sample spectral density of residuals a causal and invertible ARMA(p, q) model is introduced to construct goodness-of-fit procedure. The test statistics considered have proper limiting distribution which free unknown parameters which, unlike some well-known based on residuals, does not depend size.
sci-hub.se 参考文章(6)
K. Dzhaparidze, Parameter estimation and hypothesis testing in spectral analysis of stationary time series Springer-Verlag. ,(1986) , 10.1007/978-1-4612-4842-2
George E.P. Box, D. A. Pierce, Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models Journal of the American Statistical Association. ,vol. 65, pp. 1509- 1526 ,(1970) , 10.2307/2284333
Steven N. Durlauf, Spectral based testing of the martingale hypothesis Journal of Econometrics. ,vol. 50, pp. 355- 376 ,(1991) , 10.1016/0304-4076(91)90025-9
T. W. Anderson, Goodness of Fit Tests for Spectral Distributions Annals of Statistics. ,vol. 21, pp. 830- 847 ,(1993) , 10.1214/AOS/1176349153
G. M. LJUNG, G. E. P. BOX, On a measure of lack of fit in time series models Biometrika. ,vol. 65, pp. 297- 303 ,(1978) , 10.1093/BIOMET/65.2.297
Ulf Grenander, Murray Rosenblatt, Nelson Blachman, Statistical Analysis of Stationary Time Series Physics Today. ,vol. 10, pp. 47- 48 ,(1957) , 10.1063/1.3060405