FINITE SAMPLE DISTRIBUTION OF RESIDUAL AUTOCORRELATIONS IN AUTOREGRESSIVE-MOVING AVERAGE MODELS
成果类型：
Article
署名作者：
ANSLEY, CF; NEWBOLD, P
刊物名称：
BIOMETRIKA
ISSN/ISSBN：
0006-3444
发表日期：
1979
页码：
547553
关键词：
摘要：
Using simulation, the finite sample properties of tests of model adequacy based on individual residual autocorrelations, and of portmanteau statistics based on several residual autocorrelations, for autoregressive-moving average models were examined. Both nonseasonal and seasonal models are considered.