Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1146007 | Journal of Multivariate Analysis | 2012 | 17 Pages |
Abstract
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Chafik Bouhaddioui, Kilani Ghoudi,