Portmanteau tests for generalized integer-valued autoregressive time series models

Autor:	Atefeh Zamani, Masoomeh Forughi, Z. Shishebor
Rok vydání:	2021
Předmět:	Statistics and Probability Autoregressive model Series (mathematics) Monte Carlo method Portmanteau test Applied mathematics Portmanteau Sample (statistics) Statistics Probability and Uncertainty Statistical hypothesis testing Integer (computer science) Mathematics
Zdroj:	Statistical Papers. 63:1163-1185
ISSN:	1613-9798 0932-5026
DOI:	10.1007/s00362-021-01274-9
Popis:	In recent years, integer-valued time series attract the attention of researchers and find their applications in data analysis. Among various models, the integer-valued autoregressive (INAR) ones are of great popularity and are widely applied in practice. This paper develops some portmanteau test statistics to check the adequacy of the fitted model in a wide group of INAR processes, called generalized INAR. For this purpose, the asymptotic distributions of the test statistics are obtained and, using Monte Carlo simulation studies, their finite sample properties are derived. Besides, the results are applied in analyzing a real data example
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::1c796ce99337345e3177d475bba1f687 https://doi.org/10.1007/s00362-021-01274-9 Zobrazit plný text záznamu Full text from SpringerLink