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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1995
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| Acceso en línea: | https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_03610926_v24_n2_p295_Ferretti http://hdl.handle.net/20.500.12110/paper_03610926_v24_n2_p295_Ferretti |
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| 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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