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

Tucker S. 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



(1) Tucker S. McElroy is Mathematical Statistican, Center for Statistical Research and Methodology 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.



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Source: U.S. Census Bureau | Center for Statistical Research and Methodology | (301) 763-1649 (or x12@census.gov) |  Last Revised: February 02, 2011