Goodness-of-fit for a branching process with immigration using sample partial autocorrelations

T. M. Mills and E. Seneta

Stochastic Processes and their Applications, 1989, vol. 33, issue 1, 151-161

Abstract: A limit theorem is developed for sample partial autocorrelations, when the vector {N1/2(R(k)-mk), K=1,...,H} converges in distribution, the R(k) being sample autocorrelations from a not-necessarily stationary process. The result is used to develop a Quenouille-type goodness-of-fit test based on sample partial autocorrelations for the simple branching process with immigration. This is compared with a test of Venkataraman (1982); and both are applied to historical data.

Keywords: non-stationary; process; sample; partial; autocorrelation; autoregression; Quenouille's; test; subcritical; Galton-Watson; statistical; mechanics (search for similar items in EconPapers)
Date: 1989
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Citations: View citations in EconPapers (4)

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