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Score based goodness-of-fit tests for time series

Ling, Shiqing and Tong, Howell (2011) Score based goodness-of-fit tests for time series. Statistica Sinica, 21 (4). pp. 1807-1829. ISSN 1017-0405

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Abstract

This paper studies a class of tests useful for testing goodness of fit of a wide variety of time series models. These tests are based on a class of empirical processes marked by certain scores. Major advantages of these tests are that they are easy to implement, require only weak conditions that are usually satisfied in practical applications, the relevant critical values are readily available without bootstrap, and are more powerful than the Ljung-Box test, the Li-Mak test and the Koul-Stute test in all the cases we have tried. A comparison with the Fan-Zhang test is included. We also extend the class of tests to include score-like statistics.

Item Type: Article
Official URL: http://www3.stat.sinica.edu.tw/statistica/
Additional Information: © 2011 Institute of Statistical Science, Academia Sinica
Library of Congress subject classification: H Social Sciences > HA Statistics
Sets: Departments > Statistics
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 16 Apr 2012 13:33
URL: http://eprints.lse.ac.uk/43122/

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