THE EQUIVALENCE OF 2 TESTS OF TIME-SERIES MODEL ADEQUACY
成果类型：
Note
署名作者：
NEWBOLD, P
刊物名称：
BIOMETRIKA
ISSN/ISSBN：
0006-3444
DOI：
10.2307/2335490
发表日期：
1980
页码：
463465
关键词：
摘要：
Two tests for the adequacy of a fitted ARMA [autoregressive-moving average model] (p,q) model, based, respectively, on comparison through the Lagrange multiplier test with an ARMA (p + k, q) model and on analysis of the 1st k residual autocorrelations from the estimated model, are equivalent.