A goodness-of-fit test in robust time series modelling

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The problem of testing the adequacy of a time series model in the presence of outliers is considered. The classical portmanteau statistic is generalized to an important class of robust estimators. Some Monte Carlo results suggest that the proposed generalization possesses good robustness properties over the classical statistic. A robustified version of a result of Newbold (1980) is also obtained. Copyright © 1988 Oxford University Press on behalf of Biometrika Trust.
Original languageEnglish
Pages (from-to)355-361
Issue number2
Publication statusPublished - Jun 1988


Li, W. K. (1988). A goodness-of-fit test in robust time series modelling. Biometrika, 75(2), 355-361. doi: 10.1093/biomet/75.2.355


  • Additive outlier
  • Lagrange-multiplier test
  • Model adequacy
  • Portmanteau statistic
  • Residual autocovariance estimator


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