Goodness-of-Fit and Badness-of-Fit Diagnostic Tests for Time Series Models
Goodness-of-Fit and Badness-of-Fit Diagnostic Tests for Time Series Models
RRS2007-16
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.
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