ROBUST DURBINS AND PORTMANTEAU GOODNESS-OF-FIT TEST STATISTICS AND THEIR LIMIT DISTRIBUTIONS

被引：0
|
作者：
KULKARNI, PM
机构：
[1] Department of Mathematics and Statistics, University of South Alabama, AL
来源：
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 1990年 / 19卷 / 08期
关键词：
1) model robust tests; Robust estimation: Durbin; s statistic portman- teau goodness-of-fit test statistic AR(p) model ARMA(1;
D O I：
10.1080/03610929008830351
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Robust analogue of Durbin’s (1970) statistic is derived and its limiting distribution is obtained under both null and alternative hypotheses. Also, robust version of the portmanteau goodness-of-fit test statistic for AR(p) model is given and the asymptotic distribution is derived. © 1990, Taylor & Francis Group, LLC. All rights reserved.
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页码：2829 / 2845
页数：17
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