On a Measure of Lack of Fit in Time Series Models.

Abstract

The overall test for lack of fit in autoregressive-moving average models is considered. It is shown that a substantially improved approximation results from a simple modification of this test. Some consideration is given to the power of such tests and their robustness when the innovations are non-normal. Similar modifications in the overall tests used for transfer function-noise models are proposed.

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Document Details

Document Type
Technical Report
Publication Date
Sep 01, 1977
Accession Number
ADA049397

Entities

People

  • G. M. Ljung
  • George E. P. Box

Organizations

  • University of Wisconsin–Madison

Tags

Communities of Interest

  • Energy and Power Technologies

DTIC Thesaurus Topics

  • Air Force
  • Asymptotic Normality
  • Autocorrelation
  • Data Science
  • Information Science
  • Knowledge Management
  • Mathematics
  • Normality
  • North Carolina
  • Statistical Algorithms
  • Statistical Analysis
  • Statistics
  • Stochastic Processes
  • Transfer Functions
  • United States
  • White Noise
  • Wisconsin

Fields of Study

  • Mathematics

Readers

  • Statistical inference.