Type of Publication: | Journal article |
Author: | Beran, Jan |
Year of publication: | 1992 |
Published in: | Journal of the Royal Statistical Society / B ; 54 (1992), 3. - pp. 749-760 |
DOI (citable link): | https://dx.doi.org/10.2307/2345855 |
Summary: |
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.
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Subject (DDC): | 510 Mathematics |
Keywords: | Fractional Autoregressive Moving Average Process, Fractional Gaussian Noise, Goodness of fit, Long-range dependence, periodogram, time series |
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BERAN, Jan, 1992. A goodness-of-fit test for time series with long-range dependence. In: Journal of the Royal Statistical Society / B. 54(3), pp. 749-760. Available under: doi: 10.2307/2345855
@article{Beran1992goodn-18814, title={A goodness-of-fit test for time series with long-range dependence}, year={1992}, doi={10.2307/2345855}, number={3}, volume={54}, journal={Journal of the Royal Statistical Society / B}, pages={749--760}, author={Beran, Jan} }
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