ASYMPTOTIC RELATIVE EFFICIENCY OF SOME TESTS OF FIT IN TIME SERIES MODELS

DOI10.1111/j.1467-9892.1983.tb00359.xzbMath0531.62082OpenAlexW2149772329MaRDI QIDQ3313160

Pentti Saikkonen

Publication date: 1983

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1983.tb00359.x

zbMATH Keywords

normal processasymptotic relative efficiencyautocorrelation functionautoregressive moving average time series modelsfrequency domain tests of fit

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Asymptotic properties of some tests for autocorrelation

Cites Work

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• Asymptotic properties of some tests for autocorrelation
• A test of fit in time series models
• The Estimation of the Prediction Error Variance
• Specification Tests in Econometrics
• Testing the adequacy of a time series model
• The prediction variance and related statistics for stationary time series
• Estimation of the Innovation Variance of a Stationary Time Series
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• TESTS OF FIT IN TIME SERIES

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