A goodness-of-fit test based on ranks for ARMA models

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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

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