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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| Autores principales: | Ferretti, N., Kelmansky, D., Yohai, V. |
|---|---|
| Formato: | JOUR |
| Materias: | |
| Acceso en línea: | http://hdl.handle.net/20.500.12110/paper_03610926_v24_n2_p295_Ferretti |
| Aporte de: |
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