On goodness of fit for time series regression models

DOI10.1080/00949650108812093zbMATH Open1023.62087OpenAlexW2080396799MaRDI QIDQ2746331FDOQ2746331

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

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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)

Cites Work

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

Cited In (6)

• Power divergence family of tests for categorical time series models
• A statistic to check model adequacy in time series
• Title not available (Why is that?)
• Bayesian estimation for time-series regressions improved with exact likelihoods
• Convergence of Griddy Gibbs sampling and other perturbed Markov chains
• Score based goodness-of-fit tests for time series

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