An algorithm for testing goodness of fit of ARMA (P,Q) models
Clarke, B.R. (1983) An algorithm for testing goodness of fit of ARMA (P,Q) models. Applied Statistics Journal, 32 (3). pp. 335-344.
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The algorithm presented here enables diagnostic checking on the adequacy of an initially specified invertible ARMA (p, q) model to a series of observations by using the estimated residuals. Tue theoretical motivation for this technique is given in Godolphin (1980), and a comparison with other methods in Clarke and Godolphin (1983) highlights this test, The algorithm evaluates a chi-squared statistic based on a quadratic form, the vectors in which are of length m, equal to the degrees of freedom; they are also approximately the maximum likelihood estimate of the assumed non-zero asymptotic residual means of a transformed vector of the residual serial correlations.
|Publication Type:||Journal Article|
|Copyright:||© 1983 Royal Statistical Society|
|Notes:||Journal title now Journal of the Royal Statistical Society. Series C: Applied Statistics|
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