ARFIMA(p,d,q) goodness-of-fit test

版本 1.0.0.0 (6.1 KB) 作者: György Inzelt
Goodness of fit test for post-validating fitted ARFIMA(p,d,q)processes
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更新时间 2011/2/10

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Included in the submitted file:

Jan Beran's goodness of fit test for ARFIMA(p,d,q) processes, which is the spectral domain equivalent of the Ljung-Box statistics.

Can be used for model validation or model selection (eg.comparing the goodness of fit of an ARFIMA(1,d,0) vs. an ARFIMA(5,0,0) model).

Also included an update to the main file of the estimator (my previous submission).Included a unit root test and made some minor modifications.

Requirements:
-Statistics Toolbox

引用格式

György Inzelt (2024). ARFIMA(p,d,q) goodness-of-fit test (https://www.mathworks.com/matlabcentral/fileexchange/30355-arfima-p-d-q-goodness-of-fit-test), MATLAB Central File Exchange. 检索来源 .

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1.0.0.0