A goodness-of-fit test for time series with long-range dependence

Publikationstyp: Zeitschriftenartikel
Autor/innen: Beran, Jan
Erscheinungsjahr: 1992
Erschienen in: Journal of the Royal Statistical Society / B ; 54 (1992), 3. - S. 749-760
DOI (zitierfähiger Link): https://dx.doi.org/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.
Fachgebiet (DDC): 510 Mathematik
Schlagwörter: Fractional Autoregressive Moving Average Process, Fractional Gaussian Noise, Goodness of fit, Long-range dependence, periodogram, time series

Zitieren

Dateien zu dieser Ressource

Dateien Größe Format Anzeige

Zu diesem Dokument gibt es keine Dateien.

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} }

<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/rdf/resource/123456789/18814"> <dcterms:bibliographicCitation>Publ. in: Journal of the Royal Statistical Society / B ; 54 (1992), 3. - S. 749-760</dcterms:bibliographicCitation> <foaf:homepage rdf:resource="http://localhost:8080/jspui"/> <dc:contributor>Beran, Jan</dc:contributor> <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/rdf/resource/123456789/39"/> <dc:language>eng</dc:language> <dcterms:issued>1992</dcterms:issued> <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2012-03-20T14:51:00Z</dc:date> <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/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> <dcterms:title>A goodness-of-fit test for time series with long-range dependence</dcterms:title> <dcterms:rights rdf:resource="https://kops.uni-konstanz.de/page/termsofuse"/> <dc:rights>terms-of-use</dc:rights> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2012-03-20T14:51:00Z</dcterms:available> <dc:creator>Beran, Jan</dc:creator> <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/18814"/> </rdf:Description> </rdf:RDF>

Das Dokument erscheint in:

KOPS Suche


Stöbern

Mein Benutzerkonto