A goodness-of-fit test based on ranks for ARMA models

In this paper we introduce a goodness-of-fit test based test based on ranks for ARMA models. The classical portmanteau statistic is generalized to a class of estimators based on ranks. The asymptotic distributions of the proposed statistics are derived. Simulation results show that the proposed stat...

Descripción completa

Guardado en:
Detalles Bibliográficos
Autor principal: Kelmansky, Diana M.
Publicado: 1995
Materias:
ARMA models
goodness-of-fit
ranks
Acceso en línea:https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_03610926_v24_n2_p295_Ferretti
http://hdl.handle.net/20.500.12110/paper_03610926_v24_n2_p295_Ferretti
Aporte de:
Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) de Universidad de Buenos Aires

Ejemplares similares

Ejemplares similares