U.S. Census Bureau

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

Tucker McElroy(1), Scott Holan(2)

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.

KEYWORDS:

ARMA, EXP Models, Frequency Domain, Nonstationary Time Series



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(1) Tucker S. McElroy is Mathematical Statistican, Statistical Research Division U. S. Census Bureau, 4600 Silver Hill Road, Washington, DC 20233. email : Tucker.S.McElroy@census.gov

(2) Scott Holan is a professor in the Department of Statistics, University of Missouri-Columbia.


Source: U.S. Census Bureau, Statistical Research Divison
Maintained by : Brian C. Monsell brian.c.monsell@census.gov
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