Goodness‐of‐fit tests of normality for the innovations in ARMA models

DOI10.1111/j.1467-9892.2004.01875.xzbMath1063.62066OpenAlexW2098576549MaRDI QIDQ4677019

Gilles R. Ducharme, Pierre Lafaye de Micheaux

Publication date: 20 May 2005

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2004.01875.x

zbMATH Keywords

asymptotic distributionresidualssmooth test of normality

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (9)

Goodness-of-fit tests for Laplace, Gaussian and exponential power distributions based on λ-th power skewness and kurtosis ⋮ A Smooth Test of Goodness-of-Fit for Growth Curves and Monotonic Nonlinear Regression Models ⋮ Time series analysis of categorical data using auto-mutual information ⋮ Normality test in random coefficient autoregressive models ⋮ Neyman smooth goodness-of-fit tests for the marginal distribution of dependent data ⋮ Score test of fit for composite hypothesis in the GARCH\((1,1)\) model ⋮ Goodness‐of‐fit tests of normality for the innovations in ARMA models ⋮ A note on non-parametric testing for Gaussian innovations in AR-ARCH models ⋮ Estimating the mean and its effects on Neyman smooth tests of normality for ARMA models

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• ESTIMATION OF MULTIVARIATE TIME SERIES

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