Testing model adequacy for some Markov regression models for time series

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19 Citations (Scopus)

Abstract

The asymptotic distribution of residual autocorrelations and a score statistic are derived for checking model adequacy for some Markov regression models for time series. These models are natural extensions of the popular generalized linear models to time series data. The score statistic appears to be somewhat easier to use in practice. Some empirical results are also obtained for the score statistic in some simple cases. A real example is given. Copyright © 1991 Oxford University Press on behalf of Biometrika Trust.
Original languageEnglish
Pages (from-to)83-89
JournalBiometrika
Volume78
Issue number1
DOIs
Publication statusPublished - Mar 1991

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Score Statistic
Markov Model
Time series
time series analysis
Regression Model
statistics
Statistics
Testing
Residual Autocorrelation
testing
Model checking
Generalized Linear Model
Natural Extension
Time Series Data
autocorrelation
Autocorrelation
Model Checking
Asymptotic distribution
Linear Models
linear models

Citation

Li, W. K. (1991). Testing model adequacy for some Markov regression models for time series. Biometrika, 78(1), 83-89. doi: 10.1093/biomet/78.1.83

Keywords

  • Asymptotic distribution
  • Generalized linear model
  • Markov regression model
  • Residual autocorrelation
  • Score statistic