A goodness-of-fit test for time series with long-range dependence
| dc.contributor.author | Beran, Jan | |
| dc.date.accessioned | 2012-03-20T14:51:00Z | deu |
| dc.date.available | 2012-03-20T14:51:00Z | deu |
| dc.date.issued | 1992 | deu |
| dc.description.abstract | 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. | eng |
| dc.description.version | published | |
| dc.identifier.citation | Publ. in: Journal of the Royal Statistical Society / B ; 54 (1992), 3. - S. 749-760 | deu |
| dc.identifier.doi | 10.2307/2345855 | |
| dc.identifier.uri | http://kops.uni-konstanz.de/handle/123456789/18814 | |
| dc.language.iso | eng | deu |
| dc.legacy.dateIssued | 2012-03-20 | deu |
| dc.rights | terms-of-use | deu |
| dc.rights.uri | https://rightsstatements.org/page/InC/1.0/ | deu |
| dc.subject | Fractional Autoregressive Moving Average Process | deu |
| dc.subject | Fractional Gaussian Noise | deu |
| dc.subject | Goodness of fit | deu |
| dc.subject | Long-range dependence | deu |
| dc.subject | periodogram | deu |
| dc.subject | time series | deu |
| dc.subject.ddc | 510 | deu |
| dc.title | A goodness-of-fit test for time series with long-range dependence | eng |
| dc.type | JOURNAL_ARTICLE | deu |
| dspace.entity.type | Publication | |
| kops.citation.bibtex | @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}
} | |
| kops.citation.iso690 | 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: 10.2307/2345855 | deu |
| kops.citation.iso690 | 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: 10.2307/2345855 | eng |
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| kops.identifier.nbn | urn:nbn:de:bsz:352-188149 | deu |
| kops.sourcefield | Journal of the Royal Statistical Society / B. 1992, <b>54</b>(3), pp. 749-760. Available under: doi: 10.2307/2345855 | deu |
| kops.sourcefield.plain | Journal of the Royal Statistical Society / B. 1992, 54(3), pp. 749-760. Available under: doi: 10.2307/2345855 | deu |
| kops.sourcefield.plain | Journal of the Royal Statistical Society / B. 1992, 54(3), pp. 749-760. Available under: doi: 10.2307/2345855 | eng |
| kops.submitter.email | britta.steffens@uni-konstanz.de | deu |
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| source.bibliographicInfo.toPage | 760 | |
| source.bibliographicInfo.volume | 54 | |
| source.periodicalTitle | Journal of the Royal Statistical Society / B |
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