Goodness-of-fit tests for autoregressive processes

DOI10.1111/1467-9892.00053zbMath0885.62053OpenAlexW2008546729MaRDI QIDQ4351573

T. W. Anderson

Publication date: 28 August 1997

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

Full work available at URL: https://doi.org/10.1111/1467-9892.00053

zbMATH Keywords

goodness-of-fit testsautoregressive processesCramér-von Mises statisticestimated parametersempirical standardized spectral distribution

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes and spectral analysis (62M15)

Related Items (7)

Bootstrap specification tests for linear covariance stationary processes ⋮ Goodness of fit for lattice processes ⋮ A goodness-of-fit process for ARMA(\(p\),\(q\)) models based on a modified residual autocorrelation sequence ⋮ Spectra of bivariate \(\mathrm{VAR}(p)\) models ⋮ The asymptotic covariance matrix of the multivariate serial correlations ⋮ An omnibus test for the time series model AR(1). ⋮ Distribution free goodness-of-fit tests for linear processes

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