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Goodness‐of‐fit tests for autoregressive processes

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  • T. W. Anderson

Abstract

Goodness‐of‐fit tests for autoregressive processes can be based on the difference betwe en the empirical standardized spectral distribution of an observed time series and the standardized spectral distribution of the autoregressive process with parameters estimated from the series. The asymptotic covariance function of this difference, considered as a stochastic process on [0, π], is found. Methods to compute the asymptotic distribution of the Cramer‐‐von Mises statistic are given.

Suggested Citation

  • T. W. Anderson, 1997. "Goodness‐of‐fit tests for autoregressive processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 18(4), pages 321-339, July.
    • Handle: RePEc:bla:jtsera:v:18:y:1997:i:4:p:321-339
    DOI: 10.1111/1467-9892.00053
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