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

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17 Citations (Scopus)

Abstract

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
JournalBiometrika
Volume75
Issue number2
DOIs
Publication statusPublished - Jun 1988

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Time Series Modelling
Goodness of Fit Test
Statistic
Time series
time series analysis
statistics
Statistics
Robust Estimators
Time Series Models
Outlier
testing
Robustness
Testing
Goodness of fit test
Modeling
Generalization
Class
Time series models
Outliers
Robust estimators

Citation

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

Keywords

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