中国科学院机构知识库网格
Chinese Academy of Sciences Institutional Repositories Grid
Testing normality for linear AR(p) models

文献类型:期刊论文

作者Ip, WC; Wong, H; Chen, M
刊名COMMUNICATIONS IN STATISTICS-THEORY AND METHODS
出版日期2004-04-01
卷号33期号:4页码:891-908
关键词testing normality goodness of fit statistic Cramer-Von Mises statistic study of power
ISSN号0361-0926
英文摘要This paper proposes a nonparametric mixed test for normality of linear autoregressive time series. The test is based on the best one-step forecast in mean square with time reverse. The test statistic is the mixture of a goodness of fit statistic and Cramer-Von Mises statistic. Some asymptotic properties are developed for the test. Simulated results have shown that the test is easy to use and has good powers. Three examples of applying the test to real data. are also included.
WOS研究方向Mathematics
语种英语
WOS记录号WOS:000220482600008
出版者MARCEL DEKKER INC
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/19630]  
专题应用数学研究所
通讯作者Ip, WC
作者单位1.Hong Kong Polytech Univ, Dept Appl Math, Kowloon, Hong Kong, Peoples R China
2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
推荐引用方式
GB/T 7714
Ip, WC,Wong, H,Chen, M. Testing normality for linear AR(p) models[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS,2004,33(4):891-908.
APA Ip, WC,Wong, H,&Chen, M.(2004).Testing normality for linear AR(p) models.COMMUNICATIONS IN STATISTICS-THEORY AND METHODS,33(4),891-908.
MLA Ip, WC,et al."Testing normality for linear AR(p) models".COMMUNICATIONS IN STATISTICS-THEORY AND METHODS 33.4(2004):891-908.

入库方式: OAI收割

来源:数学与系统科学研究院

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