Goodness‐of‐fit tests for autoregressive processes

T. W. Anderson

Journal of Time Series Analysis, 1997, vol. 18, issue 4, 321-339

Abstract: Goodness‐of‐fit tests for autoregressive processes can be based on the difference betwe en the empirical standardized spectral distribution of an observed time series and the standardized spectral distribution of the autoregressive process with parameters estimated from the series. The asymptotic covariance function of this difference, considered as a stochastic process on [0, π], is found. Methods to compute the asymptotic distribution of the Cramer‐‐von Mises statistic are given.

Date: 1997
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/1467-9892.00053

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:18:y:1997:i:4:p:321-339

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().