COMPARATIVE POWER STUDIES FOR GOODNESS OF FIT TESTS OF TIME SERIES MODELS

DOI10.1111/J.1467-9892.1982.TB00336.XMaRDI QIDQ4743616zbMATH OpenOpenAlexFDO

Authors

Publication date 1982

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1982.tb00336.x

zbMATH Keywords

comparative power studiesdetermining order of autoregressive moving average processesempirical powersgoodness of fit testsinvertible time series modelsmodel identificationresidual serial correlationstationary time seriestransformations of residuals

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

Cites work

• A Bayesian extension of the minimum AIC procedure of autoregressive model fitting
• A method for testing the order of an autoregressive-moving average process
• A new look at the statistical model identification
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Estimating the dimension of a model
• TESTS OF FIT IN TIME SERIES
• The Fitting of Time-Series Models

Cited in

(2)

• Generalized portmanteau statistics and tests of randomness
• Infrence for non-negative autoregressive schemes

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