COMPARATIVE POWER STUDIES FOR GOODNESS OF FIT TESTS OF TIME SERIES MODELS
DOI10.1111/j.1467-9892.1982.tb00336.xzbMath0506.62069OpenAlexW2096385215MaRDI QIDQ4743616
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Publication date: 1982
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.1982.tb00336.x
goodness of fit testsstationary time seriesmodel identificationresidual serial correlationempirical powerscomparative power studiesdetermining order of autoregressive moving average processesinvertible time series modelstransformations of residuals
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)
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Cites Work
- Estimating the dimension of a model
- The Fitting of Time-Series Models
- A method for testing the order of an autoregressive-moving average process
- A Bayesian extension of the minimum AIC procedure of autoregressive model fitting
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- TESTS OF FIT IN TIME SERIES
- A new look at the statistical model identification
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