A TEST OF FIT IN TIME-SERIES MODELS

被引：2

作者：

MILHOJ, A ^{[1
]}

机构：

[1] UNIV COPENHAGEN, INST STAT, COPENHAGEN, DENMARK

来源：

BIOMETRIKA | 1981年 / 68卷 / 01期

关键词：

D O I：

10.1093/biomet/68.1.177

中图分类号：

Q [生物科学];

学科分类号：

07 ; 0710 ; 09 ;

摘要：

A goodness-of-fit test statistic for time series models is presented, and its asymptotic distribution, even when parameters are estimated, is derived. The statistic is a frequency domain analog of the Box-Pierce portmanteau statistic. The symptotic power of the test is found and compared to the empirical power of the portmanteau test. The small sample properties are investigated by Monte-Carlo methods.

引用

页码：177 / 187

页数：11

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