A GOODNESS‐OF‐FIT TEST FOR AUTOREGRESSIVE MOVING‐AVERAGE MODELS BASED ON THE STANDARDIZED SAMPLE SPECTRAL DISTRIBUTION OF THE RESIDUALS

Santiago Velilla

Journal of Time Series Analysis, 1994, vol. 15, issue 6, 637-647

Abstract: Abstract. A stochastic process derived from the standardized sample spectral density of the residuals of a causal and invertible ARMA(p, q) model is introduced to construct a goodness‐of‐fit procedure. The test statistics considered have a proper limiting distribution which is free of unknown parameters and which, unlike some well‐known goodness‐of‐fit statistics based on the residuals, does not depend on the sample size.

Date: 1994
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https://doi.org/10.1111/j.1467-9892.1994.tb00218.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:15:y:1994:i:6:p:637-647

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