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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| Otros Autores: | , |
| Formato: | Capítulo de libro |
| Lenguaje: | Inglés |
| Publicado: |
1995
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| Acceso en línea: | Registro en Scopus DOI Handle Registro en la Biblioteca Digital |
| Aporte de: | Registro referencial: Solicitar el recurso aquí |
| LEADER | 04576caa a22005057a 4500 | ||
|---|---|---|---|
| 001 | PAPER-12484 | ||
| 003 | AR-BaUEN | ||
| 005 | 20230518204240.0 | ||
| 008 | 190411s1995 xx ||||fo|||| 00| 0 eng|d | ||
| 024 | 7 | |2 scopus |a 2-s2.0-84950181071 | |
| 040 | |a Scopus |b spa |c AR-BaUEN |d AR-BaUEN | ||
| 100 | 1 | |a Ferretti, N. | |
| 245 | 1 | 2 | |a A goodness-of-fit test based on ranks for ARMA models |
| 260 | |c 1995 | ||
| 506 | |2 openaire |e Política editorial | ||
| 504 | |a Anderson, T.W., (1971) The Statistical Analysis of Times Series., , Wiley, New York | ||
| 504 | |a Anderson, T.W., Walker, A.M., On the asymptotic distribution of the autocorrelations of a sample from a linear stochastic process (1964) Ann. Math. Statis., 35, pp. 1296-1303 | ||
| 504 | |a Box, G.E.P., Pierce, D.A., Distribution of residual autocorrelations in autoregressive integrated moving average time series models (1970) J. Amer. Statist. Assoc., 65, pp. 1509-1526 | ||
| 504 | |a Bustos, O., Fraiman, R., Yohai, V., Asymptotic behaviour of the estimates based on residual autocovariance for ARMA models (1984) Robust and Nonlinear Time Series., pp. 26-49. , (J. Franke, W. Härdle and D. Martin, eds.), Springer-Verlag, New York | ||
| 504 | |a Bustos, O., Yohai, V., Robust Estimates for ARMA models (1986) J. Amer. Statist. Assoc., 81, pp. 155-168 | ||
| 504 | |a Denby, L., Martin, R.D., Robust estimation of the first order autoregressive parameter (1979) J. Amer. Statist. Assoc., 74, pp. 140-147 | ||
| 504 | |a Ferretti, N.E., Kelmansky, D.M., Yohai, V.J., Estimators based on ranks for ARMA models (1991) Communications in Statistics-Theory and Methods, 20 (12), pp. 3879-3907 | ||
| 504 | |a Ferretti, N.E., Kelmansky, D.M., Yohai, V.J., Estimators based on ranks for ARMA models (1992), Working Paper 92-02. Departamento de Estadística y Econometría, Universidad Carlos III de Madrid, Spain; Koul, H., A weak convergence result useful in robust autoregression (1992) Journal of Statistical Planning and Linear Inference. | ||
| 504 | |a Kreiss, J.P., Estimation of the distribution function of noise in stationary processes (1991) Metrika., 38, pp. 285-297 | ||
| 504 | |a Li, W.K., A goodness of fit test in robust time series modelling (1988) Biometrika., 75 (2), pp. 355-361 | ||
| 504 | |a Ljung, G.M., Box, G.E.P., On a measure of lack of fit in time series models (1978) Biometrika, 65, pp. 297-303 | ||
| 504 | |a Press, W.H., Flannery, B.P., Teukolsky, S.A., Vetterling, W.T., (1986) Numerical Recipes: The Art of Scientific Computing, , Cambridge University Press | ||
| 504 | |a Puri, M.L., Sen, P.K., (1971) Nonparametric Methods on Multivariate Analysis., , Wiley, New York | ||
| 520 | 3 | |a 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. |l eng | |
| 593 | |a Universidad de la Plata, CONICET, Departmento de Matemática, U.N.L.P., c.c. No. 172, 1900 La Plata, Argentina | ||
| 593 | |a Universidad de Buenos Aires, Departamento de Matemática, Facultad de Ciencias Exactas y Naturales, Pabellón 1, 1428 Buenos Aires, Argentina | ||
| 593 | |a Universidad de San Andrés, Universidad de Buenos Aires, CONICET, Departamento de Matemática, Facultad de Ciencias Exactas y Naturales, Pabellón 1, 1428 Buenos Aires, Argentina | ||
| 690 | 1 | 0 | |a ARMA MODELS |
| 690 | 1 | 0 | |a GOODNESS-OF-FIT |
| 690 | 1 | 0 | |a RANKS |
| 700 | 1 | |a Kelmansky, D. | |
| 700 | 1 | |a Yohai, V. | |
| 773 | 0 | |d 1995 |g v. 24 |h pp. 295-318 |k n. 2 |p Commun Stat Theory Methods |x 03610926 |w (AR-BaUEN)CENRE-84 |t Communications in Statistics - Theory and Methods | |
| 856 | 4 | 1 | |u https://www.scopus.com/inward/record.uri?eid=2-s2.0-84950181071&doi=10.1080%2f03610929508831490&partnerID=40&md5=455d13774e9d0d42f61a44be0090ae30 |y Registro en Scopus |
| 856 | 4 | 0 | |u https://doi.org/10.1080/03610929508831490 |y DOI |
| 856 | 4 | 0 | |u https://hdl.handle.net/20.500.12110/paper_03610926_v24_n2_p295_Ferretti |y Handle |
| 856 | 4 | 0 | |u https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_03610926_v24_n2_p295_Ferretti |y Registro en la Biblioteca Digital |
| 961 | |a paper_03610926_v24_n2_p295_Ferretti |b paper |c PE | ||
| 962 | |a info:eu-repo/semantics/article |a info:ar-repo/semantics/artículo |b info:eu-repo/semantics/publishedVersion | ||
| 999 | |c 73437 | ||