Goodness‐of‐fit tests of normality for the innovations in ARMA models
DOI10.1111/J.1467-9892.2004.01875.XzbMATH Open1063.62066OpenAlexW2098576549MaRDI QIDQ4677019FDOQ4677019
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
Recommendations
- Estimating the mean and its effects on Neyman smooth tests of normality for ARMA models
- Testing normality in autoregressive models
- Diagnostic tests for innovations of ARMA models using empirical processes of residuals
- A GOODNESS-OF-FIT TEST FOR AUTOREGRESSIVE MOVING-AVERAGE MODELS BASED ON THE STANDARDIZED SAMPLE SPECTRAL DISTRIBUTION OF THE RESIDUALS
- A note on non-parametric testing for Gaussian innovations in AR-ARCH models
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
Cites Work
- Time series: theory and methods.
- Nonparametric model checks for time series
- Title not available (Why is that?)
- Data Driven Rank Test for Two‐Sample Problem
- Title not available (Why is that?)
- On the Bickel-Rosenblatt test for first-order autoregressive models
- Goodness‐of‐fit tests of normality for the innovations in ARMA models
- ESTIMATION OF MULTIVARIATE TIME SERIES
Cited In (15)
- Score test of fit for composite hypothesis in the GARCH\((1,1)\) model
- A Smooth Test of Goodness-of-Fit for Growth Curves and Monotonic Nonlinear Regression Models
- Estimating the mean and its effects on Neyman smooth tests of normality for ARMA models
- Diagnostic tests for innovations of ARMA models using empirical processes of residuals
- A new set of tools for goodness-of-fit validation
- Neyman smooth goodness-of-fit tests for the marginal distribution of dependent data
- High Moment Partial Sum Processes of Residuals in ARMA Models and their Applications
- A goodness-of-fit test based on ranks for arma models
- A note on non-parametric testing for Gaussian innovations in AR-ARCH models
- Goodness‐of‐fit tests of normality for the innovations in ARMA models
- Goodness-of-fit tests for Laplace, Gaussian and exponential power distributions based on λ-th power skewness and kurtosis
- Free deterministic equivalent Z-scores of compound Wishart models: A goodness of fit test of 2D ARMA models
- Testing normality in autoregressive models
- Normality test in random coefficient autoregressive models
- Time series analysis of categorical data using auto-mutual information
This page was built for publication: Goodness‐of‐fit tests of normality for the innovations in ARMA models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4677019)
