کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1146007 | 1489693 | 2012 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Empirical processes for infinite variance autoregressive models
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آنالیز عددی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
The paper proposes new procedures for diagnostic checking of fitted models under the assumption of infinite-variance errors which are in the domain of attraction of a stable law. These procedures are functional of residual-based empirical processes. First, the asymptotic distributions of the empirical processes based on residuals are derived. Then two important applications in time series diagnostics are discussed. A goodness-of-fit test is developed using a functional of the empirical process based on residuals. Tests of independence of innovations are also considered. The finite-sample behavior of these tests are studied by simulation and comparison with the classical Portmanteau tests for ARMA models with infinite-variance developed recently by Lin and McLeod (2008)Â [25] is provided.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 107, May 2012, Pages 319-335
Journal: Journal of Multivariate Analysis - Volume 107, May 2012, Pages 319-335
نویسندگان
Chafik Bouhaddioui, Kilani Ghoudi,