Power divergence family of tests for categorical time series models

Fokianos, K. (2002) Power divergence family of tests for categorical time series models. Annals of the Institute of Statistical Mathematics, 54 (3). pp. 543-564. ISSN 0020-3157

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Abstract

A fundamental issue that arises after fitting a regression model is that of testing the goodness of the fit. Our work brings together the power divergence family of goodness of fit tests and regression models for categorical time series. We show that under some reasonable assumptions, the asymptotic distribution of the power divergence family of goodness of fit tests converges to a normal random variable. This fact introduces a novel method for carrying out goodness of fit tests about a regression model for categorical time series. We couple the theory with some empirical results.

Item Type:
Journal Article
Journal or Publication Title:
Annals of the Institute of Statistical Mathematics
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/2600/2613
Subjects:
ID Code:
127890
Deposited By:
Deposited On:
03 Oct 2018 13:08
Refereed?:
Yes
Published?:
Published
Last Modified:
15 Apr 2020 05:38