This paper is concerned with the development and application of diagnostic checks for vector linear time series models. A hypothesis testing procedure based upon the score, or Lagrangean multiplier, principle is advocated and the distributions of the test statistic both under the null hypothesis and under a Pitman sequence of alternatives are discussed. Consideration of alternative models with singular sensitivity matrices when the null hypothesis is true leads to an interpretation of the score test as a pure significance test and to a notion of an equivalence class of local alternatives. Portmanteau tests of model adequacy are also investigated and are seen to be equivalent to score tests.
Publié le : 1982-03-14
Classification:
Multiple autoregressive-moving average models,
score test,
local alternatives,
portmanteau statistics,
equivalences,
62M10,
62F05
@article{1176345694,
author = {Poskitt, D. S. and Tremayne, A. R.},
title = {Diagnostic Tests for Multiple Time Series Models},
journal = {Ann. Statist.},
volume = {10},
number = {1},
year = {1982},
pages = { 114-120},
language = {en},
url = {http://dml.mathdoc.fr/item/1176345694}
}
Poskitt, D. S.; Tremayne, A. R. Diagnostic Tests for Multiple Time Series Models. Ann. Statist., Tome 10 (1982) no. 1, pp. 114-120. http://gdmltest.u-ga.fr/item/1176345694/