Goodness-of-Fit and Badness-of-Fit Diagnostic Tests for Time Series Models
Tucker McElroy and Scott Holan
KEY WORDS: ARMA, EXP Models, Frequency Domain, Nonstationary Time Series
ABSTRACT
Diagnostics for testing model goodness-of-fit
and badness-of-fit for time series data are formulated by considering
a convenient metrization of a spectral density's departure from
constancy. The method is illustrated through numerical experiments
and several case studies.
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