On goodness of fit for time series regression models

DOI10.1080/00949650108812093zbMath1023.62087OpenAlexW2080396799MaRDI QIDQ2746331

Yu-Wen Wen, Cathy W. S. Chen

Publication date: 10 November 2003

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650108812093

zbMATH Keywords

importance samplingMarkov chain Monte Carloparticle filtersMCMCmodel adequacy

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

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Cites Work

• Bayes regression with autoregressive errors. A Gibbs sampling approach
• Bayes inference in regression models with ARMA\((p,q)\) errors
• Filtering via Simulation: Auxiliary Particle Filters
• Diagnostics for Time Series Analysis
• Remarks on a Multivariate Transformation