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

DOI10.1111/J.1467-9892.2004.01875.XMaRDI QIDQ4677019zbMATH OpenOpenAlexFDO

Authors 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

residualsasymptotic distributionsmooth 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)

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Cites work

• scientific article; zbMATH DE number 3137533 (Why is no real title available?)
• scientific article; zbMATH DE number 47315 (Why is no real title available?)
• Data Driven Rank Test for Two‐Sample Problem
• ESTIMATION OF MULTIVARIATE TIME SERIES
• Goodness‐of‐fit tests of normality for the innovations in ARMA models
• Nonparametric model checks for time series
• On the Bickel-Rosenblatt test for first-order autoregressive models
• Time series: theory and methods.

Cited in

(15)

• Goodness‐of‐fit tests of normality for the innovations in ARMA models
• Diagnostic tests for innovations of ARMA models using empirical processes of residuals
• Free deterministic equivalent Z-scores of compound Wishart models: A goodness of fit test of 2D ARMA models
• Goodness-of-fit tests for Laplace, Gaussian and exponential power distributions based on λ-th power skewness and kurtosis
• Score test of fit for composite hypothesis in the GARCH\((1,1)\) model
• A note on non-parametric testing for Gaussian innovations in AR-ARCH models
• High Moment Partial Sum Processes of Residuals in ARMA Models and their Applications
• A goodness-of-fit test based on ranks for arma models
• Testing normality in autoregressive models
• Neyman smooth goodness-of-fit tests for the marginal distribution of dependent data
• Estimating the mean and its effects on Neyman smooth tests of normality for ARMA models
• A Smooth Test of Goodness-of-Fit for Growth Curves and Monotonic Nonlinear Regression Models
• A new set of tools for goodness-of-fit validation
• Time series analysis of categorical data using auto-mutual information
• Normality test in random coefficient autoregressive models

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