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...

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Detalles Bibliográficos
Autores principales: Ferretti, N., Kelmansky, D., Yohai, V.
Formato: JOUR
Materias:
ARMA models
goodness-of-fit
ranks
Acceso en línea: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
id todo:paper_03610926_v24_n2_p295_Ferretti
record_format dspace
spelling todo:paper_03610926_v24_n2_p295_Ferretti2023-10-03T15:26:42Z A goodness-of-fit test based on ranks for ARMA models Ferretti, N. Kelmansky, D. Yohai, V. ARMA models goodness-of-fit ranks 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 statistics have good robustness properties for an adequate choice of the score functions. © 1995, Taylor & Francis Group, LLC. All rights reserved. Fil:Kelmansky, D. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales; Argentina. JOUR info:eu-repo/semantics/openAccess http://creativecommons.org/licenses/by/2.5/ar http://hdl.handle.net/20.500.12110/paper_03610926_v24_n2_p295_Ferretti
institution Universidad de Buenos Aires
institution_str I-28
repository_str R-134
collection Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA)
topic ARMA models
goodness-of-fit
ranks
spellingShingle ARMA models
goodness-of-fit
ranks
Ferretti, N.
Kelmansky, D.
Yohai, V.
A goodness-of-fit test based on ranks for ARMA models
topic_facet ARMA models
goodness-of-fit
ranks
description 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 statistics have good robustness properties for an adequate choice of the score functions. © 1995, Taylor & Francis Group, LLC. All rights reserved.
format JOUR
author Ferretti, N.
Kelmansky, D.
Yohai, V.
author_facet Ferretti, N.
Kelmansky, D.
Yohai, V.
author_sort Ferretti, N.
title A goodness-of-fit test based on ranks for ARMA models
title_short A goodness-of-fit test based on ranks for ARMA models
title_full A goodness-of-fit test based on ranks for ARMA models
title_fullStr A goodness-of-fit test based on ranks for ARMA models
title_full_unstemmed A goodness-of-fit test based on ranks for ARMA models
title_sort goodness-of-fit test based on ranks for arma models
url http://hdl.handle.net/20.500.12110/paper_03610926_v24_n2_p295_Ferretti
work_keys_str_mv AT ferrettin agoodnessoffittestbasedonranksforarmamodels
AT kelmanskyd agoodnessoffittestbasedonranksforarmamodels
AT yohaiv agoodnessoffittestbasedonranksforarmamodels
AT ferrettin goodnessoffittestbasedonranksforarmamodels
AT kelmanskyd goodnessoffittestbasedonranksforarmamodels
AT yohaiv goodnessoffittestbasedonranksforarmamodels
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