On goodness of fit for time series regression models

DOI10.1080/00949650108812093MaRDI QIDQ2746331zbMATH OpenOpenAlexFDO

Authors Cathy W. S. Chen, Yu-Wen Wen

Publication date 10 November 2003

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949650108812093

zbMATH Keywords

Markov chain Monte CarloMCMCimportance samplingparticle filtersmodel adequacy

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models
• Nonparametric model checks for time series
• Test de hipotesis para contrastar modelos MARMA de series temporales
• Score based goodness-of-fit tests for time series
• A GENERALIZED PORTMANTEAU GOODNESS-OF-FIT TEST FOR TIME SERIES MODELS

Cites work

• Bayes inference in regression models with ARMA\((p,q)\) errors
• Bayes regression with autoregressive errors. A Gibbs sampling approach
• Diagnostics for Time Series Analysis
• Filtering via Simulation: Auxiliary Particle Filters
• Remarks on a Multivariate Transformation

Cited in

(7)

• Score based goodness-of-fit tests for time series
• Power divergence family of tests for categorical time series models
• A statistic to check model adequacy in time series
• scientific article; zbMATH DE number 65176 (Why is no real title available?)
• Bayesian estimation for time-series regressions improved with exact likelihoods
• Convergence of Griddy Gibbs sampling and other perturbed Markov chains
• A Bayesian goodness-of-fit test for regression

This page was built for publication: On goodness of fit for time series regression models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2746331)