A Unified Derivation of the Asymptotic Distributions of Goodness-Of-Fit Statistics for Autoregressive Time-Series Models
Journal of the Royal Statistical Society: Series B (Statistical Methodology) · 1978 · Volume 40 · Issue 3
DOI: 10.1111/j.2517-6161.1978.tb01047.x
Abstract
The portmanteau and Quenouille goodness-of-fit tests for anar(p) model are derived as likelihood-ratio tests against particular alternative hypotheses, and their asymptotic distributions are thereby obtained.
Keywords
autoregressive process, goodness-of-fit tests, portmanteau statistic, quenouille's statistic, time-series model
Enable JavaScript for citation tools and additional paper interactions.