ROBUST DURBINS AND PORTMANTEAU GOODNESS-OF-FIT TEST STATISTICS AND THEIR LIMIT DISTRIBUTIONS

被引：0

作者：

KULKARNI, PM

机构：

[1] Department of Mathematics and Statistics, University of South Alabama, AL

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 1990年 / 19卷 / 08期

关键词：

1) model robust tests; Robust estimation: Durbin; s statistic portman- teau goodness-of-fit test statistic AR(p) model ARMA(1;

D O I：

10.1080/03610929008830351

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Robust analogue of Durbin’s (1970) statistic is derived and its limiting distribution is obtained under both null and alternative hypotheses. Also, robust version of the portmanteau goodness-of-fit test statistic for AR(p) model is given and the asymptotic distribution is derived. © 1990, Taylor & Francis Group, LLC. All rights reserved.

引用

页码：2829 / 2845

页数：17