Artículo
Ferretti, N.; Kelmansky, D.; Yohai, V. "A goodness-of-fit test based on ranks for ARMA models" (1995) Communications in Statistics - Theory and Methods. 24(2):295-318
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Abstract:
In this paper we introduce a goodness-of-fit test based test based on ranks for ARMA models. The classical portmanteau statistic is generalized to a class of estimators based on ranks. The asymptotic distributions of the proposed statistics are derived. Simulation results show that the proposed statistics have good robustness properties for an adequate choice of the score functions. © 1995, Taylor & Francis Group, LLC. All rights reserved.
Registro:
| Documento: | Artículo |
| Título: | A goodness-of-fit test based on ranks for ARMA models |
| Autor: | Ferretti, N.; Kelmansky, D.; Yohai, V. |
| Filiación: | Universidad de la Plata, CONICET, Departmento de Matemática, U.N.L.P., c.c. No. 172, 1900 La Plata, Argentina Universidad de Buenos Aires, Departamento de Matemática, Facultad de Ciencias Exactas y Naturales, Pabellón 1, 1428 Buenos Aires, Argentina Universidad de San Andrés, Universidad de Buenos Aires, CONICET, Departamento de Matemática, Facultad de Ciencias Exactas y Naturales, Pabellón 1, 1428 Buenos Aires, Argentina |
| Palabras clave: | ARMA models; goodness-of-fit; ranks |
| Año: | 1995 |
| Volumen: | 24 |
| Número: | 2 |
| Página de inicio: | 295 |
| Página de fin: | 318 |
| DOI: | http://dx.doi.org/10.1080/03610929508831490 |
| Título revista: | Communications in Statistics - Theory and Methods |
| Título revista abreviado: | Commun Stat Theory Methods |
| ISSN: | 03610926 |
| Registro: | https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_03610926_v24_n2_p295_Ferretti |
Referencias:
- Anderson, T.W., (1971) The Statistical Analysis of Times Series., , Wiley, New York
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- Box, G.E.P., Pierce, D.A., Distribution of residual autocorrelations in autoregressive integrated moving average time series models (1970) J. Amer. Statist. Assoc., 65, pp. 1509-1526
- Bustos, O., Fraiman, R., Yohai, V., Asymptotic behaviour of the estimates based on residual autocovariance for ARMA models (1984) Robust and Nonlinear Time Series., pp. 26-49. , (J. Franke, W. Härdle and D. Martin, eds.), Springer-Verlag, New York
- Bustos, O., Yohai, V., Robust Estimates for ARMA models (1986) J. Amer. Statist. Assoc., 81, pp. 155-168
- Denby, L., Martin, R.D., Robust estimation of the first order autoregressive parameter (1979) J. Amer. Statist. Assoc., 74, pp. 140-147
- Ferretti, N.E., Kelmansky, D.M., Yohai, V.J., Estimators based on ranks for ARMA models (1991) Communications in Statistics-Theory and Methods, 20 (12), pp. 3879-3907
- Ferretti, N.E., Kelmansky, D.M., Yohai, V.J., Estimators based on ranks for ARMA models (1992), Working Paper 92-02. Departamento de Estadística y Econometría, Universidad Carlos III de Madrid, Spain; Koul, H., A weak convergence result useful in robust autoregression (1992) Journal of Statistical Planning and Linear Inference.
- Kreiss, J.P., Estimation of the distribution function of noise in stationary processes (1991) Metrika., 38, pp. 285-297
- Li, W.K., A goodness of fit test in robust time series modelling (1988) Biometrika., 75 (2), pp. 355-361
- Ljung, G.M., Box, G.E.P., On a measure of lack of fit in time series models (1978) Biometrika, 65, pp. 297-303
- Press, W.H., Flannery, B.P., Teukolsky, S.A., Vetterling, W.T., (1986) Numerical Recipes: The Art of Scientific Computing, , Cambridge University Press
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Citas:
---------- APA ----------
Ferretti, N., Kelmansky, D. & Yohai, V. (1995) . A goodness-of-fit test based on ranks for ARMA models. Communications in Statistics - Theory and Methods, 24(2), 295-318.http://dx.doi.org/10.1080/03610929508831490
---------- CHICAGO ----------
Ferretti, N., Kelmansky, D., Yohai, V. "A goodness-of-fit test based on ranks for ARMA models" . Communications in Statistics - Theory and Methods 24, no. 2 (1995) : 295-318.http://dx.doi.org/10.1080/03610929508831490
---------- MLA ----------
Ferretti, N., Kelmansky, D., Yohai, V. "A goodness-of-fit test based on ranks for ARMA models" . Communications in Statistics - Theory and Methods, vol. 24, no. 2, 1995, pp. 295-318.http://dx.doi.org/10.1080/03610929508831490
---------- VANCOUVER ----------
Ferretti, N., Kelmansky, D., Yohai, V. A goodness-of-fit test based on ranks for ARMA models. Commun Stat Theory Methods. 1995;24(2):295-318.http://dx.doi.org/10.1080/03610929508831490
