Murdoch University Research Repository

Welcome to the Murdoch University Research Repository

The Murdoch University Research Repository is an open access digital collection of research
created by Murdoch University staff, researchers and postgraduate students.

Learn more

An algorithm for testing goodness of fit of ARMA (P,Q) models

Clarke, B.R.ORCID: 0000-0003-1419-0768 (1983) An algorithm for testing goodness of fit of ARMA (P,Q) models. Applied Statistics Journal, 32 (3). pp. 335-344.

Link to Published Version:
*Subscription may be required


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.

Item Type: Journal Article
Publisher: Blackwell Publishing
Copyright: © 1983 Royal Statistical Society
Notes: Journal title now Journal of the Royal Statistical Society. Series C: Applied Statistics
Item Control Page Item Control Page