Robust goodness-of-fit tests for AR（p） models based on L1-norm fitting

来源 :中国科学：数学英文版 | 被引量 : 0次 | 上传用户：senfa88

【摘要】

：

A robustified residual autocorrelation is defined based on L1-regression. Under very general conditions,the asymptotic distribution of the robust res

【作者】

：

蒋建成郑忠国

【出处】

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中国科学：数学英文版

【发表日期】

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1999年4期

【关键词】

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L1-regression model diagnostic CHECKING ROBUST RESIDUAL AUTOCORRELATION time ser

【基金项目】

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Project supported by the Foundation of State Educational Commission,a research grant from the Doctoral Program Foundation of China (#97000139)

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A robustified residual autocorrelation is defined based on L1-regression. Under very general conditions,the asymptotic distribution of the robust residual autocorrelation is obtained. A robustified portmanteau statistic is then cons

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Robust goodness-of-fit tests for AR（p） models based on L<sub>1</sub>-norm fitting

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