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March, 1982 Diagnostic Tests for Multiple Time Series Models
D. S. Poskitt, A. R. Tremayne
Ann. Statist. 10(1): 114-120 (March, 1982). DOI: 10.1214/aos/1176345694

Abstract

This paper is concerned with the development and application of diagnostic checks for vector linear time series models. A hypothesis testing procedure based upon the score, or Lagrangean multiplier, principle is advocated and the distributions of the test statistic both under the null hypothesis and under a Pitman sequence of alternatives are discussed. Consideration of alternative models with singular sensitivity matrices when the null hypothesis is true leads to an interpretation of the score test as a pure significance test and to a notion of an equivalence class of local alternatives. Portmanteau tests of model adequacy are also investigated and are seen to be equivalent to score tests.

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D. S. Poskitt. A. R. Tremayne. "Diagnostic Tests for Multiple Time Series Models." Ann. Statist. 10 (1) 114 - 120, March, 1982. https://doi.org/10.1214/aos/1176345694

Information

Published: March, 1982
First available in Project Euclid: 12 April 2007

zbMATH: 0487.62074
MathSciNet: MR642723
Digital Object Identifier: 10.1214/aos/1176345694

Subjects:
Primary: 62M10
Secondary: 62F05

Rights: Copyright © 1982 Institute of Mathematical Statistics

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Vol.10 • No. 1 • March, 1982
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