Publikation: A goodness-of-fit test for time series with long-range dependence
Lade...
Dateien
Zu diesem Dokument gibt es keine Dateien.
Datum
1992
Autor:innen
Herausgeber:innen
ISSN der Zeitschrift
Electronic ISSN
ISBN
Bibliografische Daten
Verlag
Schriftenreihe
Auflagebezeichnung
URI (zitierfähiger Link)
DOI (zitierfähiger Link)
Internationale Patentnummer
Angaben zur Forschungsförderung
Projekt
Open Access-Veröffentlichung
Sammlungen
Core Facility der Universität Konstanz
Titel in einer weiteren Sprache
Publikationstyp
Zeitschriftenartikel
Publikationsstatus
Published
Erschienen in
Journal of the Royal Statistical Society / B. 1992, 54(3), pp. 749-760. Available under: doi: 10.2307/2345855
Zusammenfassung
We propose a test statistic for goodness of fit in time series with slowly decaying serial correlations. The asymptotic distribution of the test statistic, originally proposed by Milhoj for time series with smooth spectra, turns out to be the same, under the null hypothesis, even if the spectrum has a pole at 0. In particular, the test is suitable to detect lack of independence in the observations, or estimated residuals, if the first few correlations are small but the decay of the correlations is slow.
Zusammenfassung in einer weiteren Sprache
Fachgebiet (DDC)
510 Mathematik
Schlagwörter
Fractional Autoregressive Moving Average Process, Fractional Gaussian Noise, Goodness of fit, Long-range dependence, periodogram, time series
Konferenz
Rezension
undefined / . - undefined, undefined
Zitieren
ISO 690
BERAN, Jan, 1992. A goodness-of-fit test for time series with long-range dependence. In: Journal of the Royal Statistical Society / B. 1992, 54(3), pp. 749-760. Available under: doi: 10.2307/2345855BibTex
@article{Beran1992goodn-18814,
year={1992},
doi={10.2307/2345855},
title={A goodness-of-fit test for time series with long-range dependence},
number={3},
volume={54},
journal={Journal of the Royal Statistical Society / B},
pages={749--760},
author={Beran, Jan}
}RDF
<rdf:RDF
xmlns:dcterms="http://purl.org/dc/terms/"
xmlns:dc="http://purl.org/dc/elements/1.1/"
xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
xmlns:bibo="http://purl.org/ontology/bibo/"
xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
xmlns:foaf="http://xmlns.com/foaf/0.1/"
xmlns:void="http://rdfs.org/ns/void#"
xmlns:xsd="http://www.w3.org/2001/XMLSchema#" >
<rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/18814">
<dc:language>eng</dc:language>
<dcterms:title>A goodness-of-fit test for time series with long-range dependence</dcterms:title>
<foaf:homepage rdf:resource="http://localhost:8080/"/>
<dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2012-03-20T14:51:00Z</dc:date>
<dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2012-03-20T14:51:00Z</dcterms:available>
<dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
<dcterms:abstract xml:lang="eng">We propose a test statistic for goodness of fit in time series with slowly decaying serial correlations. The asymptotic distribution of the test statistic, originally proposed by Milhoj for time series with smooth spectra, turns out to be the same, under the null hypothesis, even if the spectrum has a pole at 0. In particular, the test is suitable to detect lack of independence in the observations, or estimated residuals, if the first few correlations are small but the decay of the correlations is slow.</dcterms:abstract>
<dc:rights>terms-of-use</dc:rights>
<dc:creator>Beran, Jan</dc:creator>
<dcterms:issued>1992</dcterms:issued>
<bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/18814"/>
<void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
<dcterms:bibliographicCitation>Publ. in: Journal of the Royal Statistical Society / B ; 54 (1992), 3. - S. 749-760</dcterms:bibliographicCitation>
<dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
<dc:contributor>Beran, Jan</dc:contributor>
<dcterms:rights rdf:resource="https://rightsstatements.org/page/InC/1.0/"/>
</rdf:Description>
</rdf:RDF>Interner Vermerk
xmlui.Submission.submit.DescribeStep.inputForms.label.kops_note_fromSubmitter
Prüfungsdatum der Dissertation
Finanzierungsart
Kommentar zur Publikation
Allianzlizenz
Corresponding Authors der Uni Konstanz vorhanden
Internationale Co-Autor:innen
Universitätsbibliographie
Nein
