Robust durbin's and portmanteau goodness-of-fit test statistics and their limit distributions |
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| Authors: | PM Kulkarni |
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| Institution: | Department of Mathematics and Statistics , University of South Alabama , Mobile, AL, U.S.A |
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| Abstract: | Robust analogue of Durbin's(1970)statistic is derived and its limiting distribution is obtained under both null and alternative hypotheses. Also, robust version of the portmanteau goodness-of-fit test statistic for AR(p)model is given and the asymptotic distribution is derived. |
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| Keywords: | Robust estimation Durbin's statistic Portmanteau goodness-of-fit test statistic AR(p)Model ARMA(1 1) model robust tests |
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