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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Detalles Bibliográficos
Autor principal:	Kelmansky, Diana M.
Publicado:	1995
Materias:	ARMA models goodness-of-fit ranks
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
Aporte de:	Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) de Universidad de Buenos Aires

id	paper:paper_03610926_v24_n2_p295_Ferretti
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spelling	paper:paper_03610926_v24_n2_p295_Ferretti2023-06-08T15:34:53Z A goodness-of-fit test based on ranks for ARMA models Kelmansky, Diana M. ARMA models goodness-of-fit ranks 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. Fil:Kelmansky, D. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales; Argentina. 1995 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
institution	Universidad de Buenos Aires
institution_str	I-28
repository_str	R-134
collection	Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA)
topic	ARMA models goodness-of-fit ranks
spellingShingle	ARMA models goodness-of-fit ranks Kelmansky, Diana M. A goodness-of-fit test based on ranks for ARMA models
topic_facet	ARMA models goodness-of-fit ranks
description	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.
author	Kelmansky, Diana M.
author_facet	Kelmansky, Diana M.
author_sort	Kelmansky, Diana M.
title	A goodness-of-fit test based on ranks for ARMA models
title_short	A goodness-of-fit test based on ranks for ARMA models
title_full	A goodness-of-fit test based on ranks for ARMA models
title_fullStr	A goodness-of-fit test based on ranks for ARMA models
title_full_unstemmed	A goodness-of-fit test based on ranks for ARMA models
title_sort	goodness-of-fit test based on ranks for arma models
publishDate	1995
url	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
work_keys_str_mv	AT kelmanskydianam agoodnessoffittestbasedonranksforarmamodels AT kelmanskydianam goodnessoffittestbasedonranksforarmamodels
_version_	1768546069063401472

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

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