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Robust goodness-of-fit tests for AR(p) models based onL 1-norm fitting

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Abstract

A robustified residual autocorrelation is defined based onL 1-regression. Under very general conditions, the asymptotic distribution of the robust residual autocorrelation is obtained. A robustified portmanteau statistic is then constructed which can be used in checking the goodness-of-fit of AR(p) models when usingL 1-norm fitting. Empirical results show thatL 1-norm estimators and the proposed portmanteau statistic are robust against outliers, error distributions, and accuracy for a given finite sample.

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Author information

Authors and Affiliations

  1. Department of Probability and Statistics, Peking University, 100871, Beijing, China

    Jiang Jiancheng

  2. Department of Management, Sciences City University of Hong Kong, Hong Kong

    Yer van Hui

  3. Peking University, Department of Probability and Statistics, 100871, Beijing, China

    Zheng Zhongguo

Authors
  1. Jiang Jiancheng
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  2. Yer van Hui
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  3. Zheng Zhongguo
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Additional information

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

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Jiang, J., van Hui, Y. & Zheng, Z. Robust goodness-of-fit tests for AR(p) models based onL 1-norm fitting. Sci. China Ser. A-Math. 42, 337–346 (1999). https://doi.org/10.1007/BF02874252

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  • DOI: https://doi.org/10.1007/BF02874252

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