Skip header section
US Census Bureau
People Business Geography Newsroom Subjects A to Z Search@Census
 

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



[PDF] or PDF denotes a file in Adobe’s Portable Document Format. To view the file, you will need the Adobe® Acrobat® Reader This link to a non-federal Web site does not imply endorsement of any particular product, company, or content. available free from Adobe. Link to a non-federal Web site


(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
This symbol Symbol indicating that file is external to this site. indicates a link to a non-government web site. Our linking to these sites does not constitute an endorsement of any products, services or the information found on them. Once you link to another site you are subject to the policies of the new site.