A TEST OF FIT IN TIME-SERIES MODELS
成果类型：
Article
署名作者：
MILHOJ, A
刊物名称：
BIOMETRIKA
ISSN/ISSBN：
0006-3444
DOI：
10.1093/biomet/68.1.177
发表日期：
1981
页码：
177187
关键词：
摘要：
A goodness-of-fit test statistic for time series models is presented, and its asymptotic distribution, even when parameters are estimated, is derived. The statistic is a frequency domain analog of the Box-Pierce portmanteau statistic. The symptotic power of the test is found and compared to the empirical power of the portmanteau test. The small sample properties are investigated by Monte-Carlo methods.