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
Descripción
Sumario: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.

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