Journal article
An algorithm for testing goodness of fit of ARMA (P,Q) models
Applied Statistics Journal, Vol.32(3), pp.335-344
1983
Abstract
The algorithm presented here enables diagnostic checking on the adequacy of an initially specified invertible ARMA (p, q) model to a series of observations by using the estimated residuals. Tue theoretical motivation for this technique is given in Godolphin (1980), and a comparison with other methods in Clarke and Godolphin (1983) highlights this test, The algorithm evaluates a chi-squared statistic based on a quadratic form, the vectors in which are of length m, equal to the degrees of freedom; they are also approximately the maximum likelihood estimate of the assumed non-zero asymptotic residual means of a transformed vector of the residual serial correlations.
Details
- Title
- An algorithm for testing goodness of fit of ARMA (P,Q) models
- Authors/Creators
- B.R. Clarke (Author/Creator)
- Publication Details
- Applied Statistics Journal, Vol.32(3), pp.335-344
- Publisher
- Blackwell Publishing
- Identifiers
- 991005540912307891
- Copyright
- © 1983 Royal Statistical Society
- Murdoch Affiliation
- Murdoch University
- Language
- English
- Resource Type
- Journal article
- Note
- Journal title now Journal of the Royal Statistical Society. Series C: Applied Statistics
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