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Goodness-of-Fit and Badness-of-Fit Diagnostic Tests for Time Series Models

Tucker McElroy and Scott Holan

KEY WORDS: ARMA, EXP Models, Frequency Domain, Nonstationary Time Series

ABSTRACT

Diagnostics for testing model goodness-of-fit and badness-of-fit for time series data are formulated by considering a convenient metrization of a spectral density's departure from constancy. The method is illustrated through numerical experiments and several case studies.

CITATION:

Source: U.S. Census Bureau, Statistical Research Division

Created: November 13, 2007
Last revised: November 13, 2007


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Source: U.S. Census Bureau | Statistical Research Division | (301) 763-3215 (or chad.eric.russell@census.gov) |   Last Revised: October 08, 2010