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

Versione 1.0.0.0 (6,07 KB) da György Inzelt
Goodness of fit test for post-validating fitted ARFIMA(p,d,q)processes
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Aggiornato 10 feb 2011

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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

Cita come

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. Recuperato .

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Versione Pubblicato Note della release
1.0.0.0