IDEAS home Printed from https://ideas.repec.org/a/bla/jtsera/v15y1994i6p637-647.html
   My bibliography  Save this article

A Goodness‐Of‐Fit Test For Autoregressive Moving‐Average Models Based On The Standardized Sample Spectral Distribution Of The Residuals

Author

Listed:
  • Santiago Velilla

Abstract

. A stochastic process derived from the standardized sample spectral density of the residuals of a causal and invertible ARMA(p, q) model is introduced to construct a goodness‐of‐fit procedure. The test statistics considered have a proper limiting distribution which is free of unknown parameters and which, unlike some well‐known goodness‐of‐fit statistics based on the residuals, does not depend on the sample size.

Suggested Citation

  • Santiago Velilla, 1994. "A Goodness‐Of‐Fit Test For Autoregressive Moving‐Average Models Based On The Standardized Sample Spectral Distribution Of The Residuals," Journal of Time Series Analysis, Wiley Blackwell, vol. 15(6), pages 637-647, November.
    • Handle: RePEc:bla:jtsera:v:15:y:1994:i:6:p:637-647
    DOI: 10.1111/j.1467-9892.1994.tb00218.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1467-9892.1994.tb00218.x
    Download Restriction: no
    File URL: https://libkey.io/10.1111/j.1467-9892.1994.tb00218.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Velilla Cerdan, Santiago, 1996. "On the cumulated periodogram goodness-of-fit test in ARMA models," DES - Working Papers. Statistics and Econometrics. WS 10721, Universidad Carlos III de Madrid. Departamento de Estadística.
    2. Pena D. & Rodriguez J., 2002. "A Powerful Portmanteau Test of Lack of Fit for Time Series," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 601-610, June.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:15:y:1994:i:6:p:637-647. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.