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

TitleA goodness-of-fit test in robust time series modelling
Authors
Li, WK
KeywordsAdditive outlier
Lagrange-multiplier test
Model adequacy
Portmanteau statistic
Residual autocovariance estimator
Issue Date1988
PublisherOxford University Press. The Journal's web site is located at http://biomet.oxfordjournals.org/
Citation
Biometrika, 1988, v. 75 n. 2, p. 355-361 How to Cite?
DOI: http://dx.doi.org/10.1093/biomet/75.2.355
AbstractThe 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. © 1988 Biometrika Trust.
Persistent Identifierhttp://hdl.handle.net/10722/137104
ISSN
0006-3444
2023 Impact Factor: 2.4
2023 SCImago Journal Rankings: 3.358
ISI Accession Number ID
WOS:A1988N941300019

 

DC FieldValueLanguage
dc.contributor.authorLi, WKen_HK
dc.date.accessioned2011-08-16T04:19:29Z-
dc.date.available2011-08-16T04:19:29Z-
dc.date.issued1988en_HK
dc.identifier.citationBiometrika, 1988, v. 75 n. 2, p. 355-361en_HK
dc.identifier.issn0006-3444en_HK
dc.identifier.urihttp://hdl.handle.net/10722/137104-
dc.description.abstractThe 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. © 1988 Biometrika Trust.en_HK
dc.languageeng-
dc.publisherOxford University Press. The Journal's web site is located at http://biomet.oxfordjournals.org/en_HK
dc.relation.ispartofBiometrikaen_HK
dc.subjectAdditive outlieren_HK
dc.subjectLagrange-multiplier testen_HK
dc.subjectModel adequacyen_HK
dc.subjectPortmanteau statisticen_HK
dc.subjectResidual autocovariance estimatoren_HK
dc.titleA goodness-of-fit test in robust time series modellingen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0006-3444&volume=75&issue=2&spage=355&epage=361&date=1988&atitle=A+goodness-of-fit+test+in+robust+time+series+modelling-
dc.identifier.emailLi, WK: hrntlwk@hku.hken_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1093/biomet/75.2.355en_HK
dc.identifier.scopuseid_2-s2.0-77956887210en_HK
dc.identifier.volume75en_HK
dc.identifier.issue2en_HK
dc.identifier.spage355en_HK
dc.identifier.epage361en_HK
dc.identifier.isiWOS:A1988N941300019-
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridLi, WK=14015971200en_HK
dc.identifier.issnl0006-3444-

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