A test of fit in time series models

DOI10.1093/biomet/68.1.177zbMath0459.62079OpenAlexW1993336537MaRDI QIDQ3909880

Anders Milhøj

Publication date: 1981

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/68.1.177

zbMATH Keywords

frequency domainperiodogramstationary processasymptotic powersmall sample propertiesresidual autocorrelationstime series modelsgoodness-of-fit test statistic

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Monte Carlo methods (65C05)

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