Goodness-of-fit tests for autoregressive processes

DOI10.1111/1467-9892.00053zbMATH Open0885.62053OpenAlexW2008546729MaRDI QIDQ4351573FDOQ4351573

Authors: 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

Recommendations

• A goodness-of-fit test for integer-valued autoregressive processes
• New goodness-of-fit tests for the error distribution of autoregressive time-series models
• Goodness-of-fit tests for vector autoregressive models in time series
• A nonparametric goodness-of-fit test for a class of parametric autoregressive models
• A goodness-of-fit test of the errors in nonlinear autoregressive time series models
• Goodness-of-fit tests for continuous-time stationary processes
• Goodness-of-fit tests for binomial AR(1) processes
• A goodness-of-fit test for a class of autoregressive conditional duration models

zbMATH Keywords

goodness-of-fit testsautoregressive processesestimated parametersCramér-von Mises statisticempirical 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)

Cited In (23)

• New goodness-of-fit tests for the error distribution of autoregressive time-series models
• A goodness-of-fit test of the errors in nonlinear autoregressive time series models with stationary $\alpha$-mixing error terms
• Bootstrap specification tests for linear covariance stationary processes
• On the Bickel-Rosenblatt test of goodness-of-fit for the residuals of autoregressive processes
• Goodness of fit tests for spectral distributions
• Goodness of fit for lattice processes
• Goodness-of-fit tests for binomial AR(1) processes
• Spectra of bivariate \(\mathrm{VAR}(p)\) models
• A goodness-of-fit test based on ranks for arma models
• A test of homogeneity for autoregressive processes
• Sign invariance in goodness-of-fit test for time series
• A FREQUENCY DOMAIN APPROACH TO LAGRANGE MULTIPLIER TEST FOR AUTOREGRESSIVE MOVING AVERAGE MODELS
• Title not available (Why is that?)
• A goodness-of-fit process for ARMA(\(p\),\(q\)) models based on a modified residual autocorrelation sequence
• Goodness-of-fit tests for continuous-time stationary processes
• Title not available (Why is that?)
• A GOODNESS-OF-FIT TEST FOR AUTOREGRESSIVE MOVING-AVERAGE MODELS BASED ON THE STANDARDIZED SAMPLE SPECTRAL DISTRIBUTION OF THE RESIDUALS
• Testing proportionality for autoregressive processes
• The asymptotic covariance matrix of the multivariate serial correlations
• A Test for Spectrum Flatness
• Distribution free goodness-of-fit tests for linear processes
• ON THE ASYMPTOTIC DISTRIBUTION OF BARTLETT'S U_p-STATISTIC
• An omnibus test for the time series model AR(1).

This page was built for publication: Goodness-of-fit tests for autoregressive processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4351573)