A test of fit in time series models
From MaRDI portal
Publication:3909880
DOI10.1093/biomet/68.1.177zbMath0459.62079OpenAlexW1993336537MaRDI QIDQ3909880
Publication date: 1981
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/biomet/68.1.177
frequency domainperiodogramstationary processasymptotic powersmall sample propertiesresidual autocorrelationstime series modelsgoodness-of-fit test statistic
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Monte Carlo methods (65C05)
Related Items (15)
On the integral of the squared periodogram ⋮ Asymptotic properties of some tests for autocorrelation ⋮ An automatic portmanteau test for serial correlation ⋮ A frequency domain empirical likelihood for short- and long-range dependence ⋮ Infrence for non-negative autoregressive schemes ⋮ Gaussian inference on certain long-range dependent volatility models ⋮ The use of Hurst and effective return in investing ⋮ A GENERALIZED PORTMANTEAU GOODNESS-OF-FIT TEST FOR TIME SERIES MODELS ⋮ ARCH modeling in finance. A review of the theory and empirical evidence ⋮ ASYMPTOTIC RELATIVE EFFICIENCY OF SOME TESTS OF FIT IN TIME SERIES MODELS ⋮ The Variance Profile ⋮ Moment bounds and central limit theorem for functions of Gaussian vectors ⋮ Spectral methods for small sample time series: A complete periodogram approach ⋮ Signal extraction goodness-of-fit diagnostic tests under model parameter uncertainty: Formulations and empirical evaluation ⋮ The generalised autocovariance function
This page was built for publication: A test of fit in time series models
