RT Generic
T1 A goodnes-of-fit test  based on ranks for arma models
A1 Ferretti, Nélida
A1 Kelmansky, Diana M.
A1 Yohai, Víctor J.
A2 Universidad Carlos III de Madrid. Departamento de Economía, 
AB In this paper we introduce a goodness-of-fit test based on ranks for ARMA models. The classical portmanteau statistic is generalized to a class of estimators based on ranks. The asymptotic distributions of the proposed statistics are derived. Simulation results suggest that the proposed statistics have good robustness properties for an adequate choice of the score functions.
SN 2340-5031
YR 1992
FD 1992-01
LK https://hdl.handle.net/10016/5817
UL https://hdl.handle.net/10016/5817
LA eng
DS e-Archivo
RD 3 may. 2024