论文信息 - Testing the adequacy of a time series model

Testing the adequacy of a time series model

SUMMARY The problem of testing the adequacy of an autoregressive-moving average time series model is considered. A new approach is proposed, and some Monte Carlo results on the finite sample size and power of the test procedures of this paper are reported. The test statistics discussed by Box & Pierce (1970) and Ljung & Box (1978) are also examined.

Leslie Godfrey | L. Godfrey

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