TESTING MODEL ADEQUACY FOR SOME MARKOV REGRESSION-MODELS FOR TIME-SERIES

• 成果类型: Article
• 署名作者: LI, WK
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• 发表日期: 1991
• 页码: 8389
• 关键词: mixtures

摘要

The asymptotic distribution of residual autocorrelations and a score statistic are derived for checking model adequacy for some Markov regression models for time series. These models are natural extensions of the popular generalized linear models to time series data. The score statistic appears to be somewhat easier to use in practice. Some empirical results are also obtained for the score statistic in some simple cases. A real example is given.