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

zbMATH Keywords

goodness of fit testsstationary time seriesmodel identificationresidual serial correlationempirical powerscomparative power studiesdetermining order of autoregressive moving average processesinvertible time series modelstransformations of residuals

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

Related Items (2)

Generalized portmanteau statistics and tests of randomness ⋮ Infrence for non-negative autoregressive schemes

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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