Algorithm AS 194: An Algorithm for Testing Goodness of Fit of ARMA (P,Q) Models

DOI10.2307/2347966zbMath0538.62079OpenAlexW1593303607MaRDI QIDQ3324881

Brenton R. Clarke

Publication date: 1983

Published in: Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2347966

zbMATH Keywords

chi-squared statisticestimated residualstesting goodness of fitresidual serial correlationARMA(p,q) modelsapproximate maximum likelihood estimateFortran 66

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to statistics (62-04) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

Related Items (3)

Probabilistic-statistical programs from ``Applied Statistics ⋮ AS 194 ⋮ Uncorrelated residuals and an exact test for two variance components in experimental design

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